Systems and methods for targeted exchange emulation

ABSTRACT

Presently disclosed are systems and methods for targeted exchange emulation. In an embodiment, an output-feed profile that specifies a ticker-symbol subset is maintained at a market data processing device (MDPD). An input feed of order-book updates to respective ticker symbols is received at the MDPD from an upstream device. An output feed is generated at the MDPD at least in part by filtering the received input feed down to order-book updates to the ticker-symbol subset and generating output-feed messages that convey the remaining order-book updates. The generated output feed (including the generated output-feed messages) is transmitted from the MDPD to a downstream device. Cached copies of at least the order-book updates from the input feed that correspond with output-feed messages in the output feed are stored at the MDPD. A gap-fill service for the output feed is provided from the MDPD to the downstream device using the cached copies.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application claims the benefit of U.S. Provisional Application No.62/589,255, filed Nov. 21, 2017, the contents of which is herebyincorporated by reference herein. This application incorporates byreference U.S. patent application Ser. No. ______, naming inventorRobert James Walker, entitled “SYSTEMS AND METHODS FOR GENERATINGCUSTOMIZED FILTERED-AND-PARTITIONED MARKET-DATA FEEDS”, AttorneyReference XLR-71105US01, U.S. patent application Ser. No. ______, naminginventor Robert James Walker, entitled “SYSTEMS AND METHODS FORDISTRIBUTED ARCHITECTURE OF MARKET-DATA PROCESSING DEVICE”, AttorneyReference XLR-71107US01, and U.S. patent application Ser. No. ______,naming inventor Robert James Walker, entitled “SYSTEMS AND METHODS FORGENERATING AND ARBITRATING AMONG MULTIPLE MARKET-DATA FEEDS”, AttorneyReference XLR-71108US01, each of which filed on the same filing date asthe present application.

BACKGROUND

Many business transactions, including those that involve the purchaseand sale of securities, are conducted over digital networks. Suchtransactions generate a large and ever-increasing amount of rawreal-time data. The handling of large streams of market data introducesnumerous challenges.

SUMMARY

Presently disclosed are systems and methods for targeted exchangeemulation.

One embodiment takes the form of a method that includes maintaining, ata market data processing device (MDPD), an output-feed profile thatspecifies a ticker-symbol subset from among a plurality of tickersymbols. The method also includes receiving, at the MDPD from anupstream device, an input feed of order-book updates to respectiveticker symbols in the plurality of ticker symbols. The method alsoincludes generating, at the MDPD, a market-data output feed from thereceived input feed at least in part by (i) filtering the received inputfeed down to a filtered feed of the order-book updates to the respectiveticker symbols in the ticker-symbol subset and (ii) generatingmarket-data-output-feed messages that respectively convey the order-bookupdates in the filtered feed. The method also includes transmitting thegenerated market-data output feed from the MDPD to a downstream deviceat least in part by transmitting the generated market-data-output-feedmessages from the MDPD to the downstream device. The method alsoincludes storing, at the MDPD, cached copies of at least the order-bookupdates from the input feed that respectively correspond withmarket-data-output-feed messages in the generated market-data outputfeed. The method also includes providing, from the MDPD to thedownstream device, a gap-fill service for the generated market-dataoutput feed using the cached order-book-update copies.

In at least one embodiment, the ticker-symbol subset includes all of theticker symbols in the plurality of ticker symbols.

In at least one embodiment, the ticker-symbol subset does not includeall of the ticker symbols in the plurality of ticker symbols.

In at least one embodiment, the MDPD includes a PLC that is configuredto perform the generating of the market-data output feed from thereceived input feed, where maintaining the output-feed profile at theMDPD includes maintaining an operational copy of the output-feed profileon the PLC; and a host data storage, where maintaining the output-feedprofile at the MDPD further includes maintaining a management copy ofthe output-feed profile in the host data storage; and a host processorthat (i) is communicatively connected to the PLC and (ii) has access tothe host data storage; storing, at the MDPD, cached copies of at leastthe order-book updates from the input feed that respectively correspondwith market-data-output-feed messages in the market-data output feedincludes: the PLC transmitting an archival copy of the input feed to thehost processor; and the host processor storing in the host data storage(i) cached copies of at least the order-book updates from the archivalcopy of the input feed that respectively correspond withmarket-data-output-feed messages in the market-data output feed and (ii)input-feed-to-output-feed mapping data that correlates respective cachedcopies of order-book updates from the archival copy of the input feedwith the corresponding market-data-output-feed messages in themarket-data output feed.

In at least one embodiment, the MDPD further includes a host networkinterface communicatively connected to the host processor, and providingthe gap-fill service from the MDPD to the downstream device includes thehost processor transmitting one or more gap-fill responses to thedownstream device via the host network interface.

In at least one embodiment, the host processor being communicativelyconnected to the PLC includes the host processor being communicativelyconnected to the PLC by a Peripheral Component Interconnect Express(PCIe) bus, and the PLC transmitting the archival copy of the input feedto the host processor includes the PLC transmitting the archival copy ofthe input feed to the host processor via the PCIe bus.

In at least one embodiment, providing the gap-fill service from the MDPDto the downstream device includes the PLC informing the host processorvia the PCIe bus of receipt by the PLC from the downstream device of oneor more gap-fill requests.

In at least one embodiment, generating the market-data-output-feedmessages includes including, in each such message, a feed-level sequencenumber indicating the sequential position of that message among all ofthe messages in the generated market-data output feed; and theinput-feed-to-output-feed mapping data correlates cached copies oforder-book updates with corresponding market-data-output-feed messagesin the market-data output feed at least by the feed-level sequencenumbers of the corresponding market-data-output-feed messages.

In at least one such embodiment, generating the market-data-output-feedmessages further includes including, in each such message, aticker-symbol-level sequence number indicating the sequential positionof the corresponding order-book update among the order-book updates tothe corresponding ticker symbol in the received input feed; and theinput-feed-to-output-feed mapping data correlates cached copies oforder-book updates with corresponding market-data-output-feed messagesin the market-data output feed at least by the feed-level sequencenumbers of the corresponding market-data-output-feed messages and atleast by the ticker-symbol-level sequence numbers of the correspondingmarket-data-output-feed messages.

In at least one embodiment, generating the market-data-output-feedmessages includes including, in each such message, a ticker-symbol-levelsequence number indicating the sequential position of the correspondingorder-book update among the order-book updates to the correspondingticker symbol in the received input feed; and theinput-feed-to-output-feed mapping data correlates cached copies oforder-book updates with corresponding market-data-output-feed messagesin the market-data output feed at least by the ticker-symbol-levelsequence numbers of the corresponding market-data-output-feed messages.

In at least one embodiment, generating the market-data-output-feedmessages includes including, in each such message, a feed-level sequencenumber indicating the sequential position of that message among all ofthe messages in the generated market-data output feed; and providing thegap-fill service for the generated market-data output feed using thecached order-book-update copies includes providing the gap-fill servicefor the generated market-data output feed using the cachedorder-book-update copies and keyed to at least the feed-level sequencenumbers.

In at least one such embodiment, providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the feed-level sequence numbers includes:receiving, at the MDPD from the downstream device, one or more gap-fillrequests respectively specifying ranges of one or more of the feed-levelsequence numbers; and responsively transmitting, from the MDPD to thedownstream device, corresponding gap-fill responses that respectivelyinclude either (i) copies of the corresponding requestedmarket-data-output-feed messages generated by the MDPD from the cachedcopies of the corresponding order-book updates or (ii) agap-fill-request failure indication.

In at least one other such embodiment, generating themarket-data-output-feed messages further includes including, in eachsuch message, a ticker-symbol-level sequence number indicating thesequential position of the corresponding order-book update among theorder-book updates to the corresponding ticker symbol in the receivedinput feed; and providing the gap-fill service for the generatedmarket-data output feed using the cached order-book-update copiesincludes providing the gap-fill service for the generated market-dataoutput feed using the cached order-book-update copies and keyed to atleast the feed-level sequence numbers and to the ticker-symbol-levelsequence numbers.

In at least one embodiment, generating the market-data-output-feedmessages includes including, in each such message, a ticker-symbol-levelsequence number indicating the sequential position of the correspondingorder-book update among the order-book updates to the correspondingticker symbol in the received input feed; and providing the gap-fillservice for the generated market-data output feed using the cachedorder-book-update copies includes providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the ticker-symbol-level sequence numbers.

In at least one such embodiment, providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the ticker-symbol-level sequence numbersincludes: receiving, at the MDPD from the downstream device, one or moregap-fill requests respectively specifying (i) one or more ticker symbolsin the ticker-symbol subset and (ii) a range of one or more of theticker-symbol-level sequence numbers for each ticker symbol specified inthe particular gap-fill request; and responsively transmitting, from theMDPD to the downstream device, corresponding gap-fill responses thatrespectively include either (i) copies of the corresponding requestedmarket-data-output-feed messages generated by the MDPD from the cachedcopies of the corresponding order-book updates or (ii) agap-fill-request failure indication.

In at least one embodiment, the output-feed profile further specifies aticker-symbol-based feed-partitioning scheme; the generatedmarket-data-output-feed messages are partitioned according to thespecified ticker-symbol-based feed-partitioning scheme; generating themarket-data-output-feed messages includes including, in each suchmessage, a partition-level sequence number indicating the sequentialposition of that message among the messages in the generated market-dataoutput feed that share a partition with that message according to thespecified ticker-symbol-based feed-partitioning scheme; and providingthe gap-fill service for the generated market-data output feed using thecached order-book-update copies includes providing the gap-fill servicefor the generated market-data output feed using the cachedorder-book-update copies and keyed to at least the partition-levelsequence numbers.

In at least one such embodiment, providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the partition-level sequence numbersincludes: receiving, at the MDPD from the downstream device, one or moregap-fill requests respectively specifying (i) at least one partition inthe generated market-data output feed and (ii) a range of one or more ofthe partition-level sequence numbers for each partition specified in theparticular gap-fill request; and responsively transmitting, from theMDPD to the downstream device, corresponding gap-fill responses thatrespectively include either (i) copies of the corresponding requestedmarket-data-output-feed messages generated by the MDPD from the cachedcopies of the corresponding order-book updates or (ii) agap-fill-request failure indication.

In at least one embodiment, transmitting the generatedmarket-data-output-feed messages from the MDPD to the downstream deviceincludes transmitting first Internet Protocol (IP) packets from the MDPDto the downstream device, where each of the first IP packets containsone or more of the generated market-data-output-feed messages, where atransport layer of the first IP packets is UDP; and providing thegap-fill service from the MDPD to the downstream device includestransmitting second IP packets from the MDPD to the downstream device,where each of the second IP packets contains one or more gap-fillresponses, where a transport layer of the second IP packets is TCP.

At least one embodiment further includes maintaining, in data storage atthe MDPD, a current local list of active orders for each ticker symbolin the plurality of ticker symbols; and providing, from the MDPD to thedownstream device, a late-join service based on one or more of themaintained current local lists of active orders. In at least oneembodiment, providing the late-join service includes transmittinglate-join responses contained in IP packets having a transport protocol;and the transport protocol of the IP packets containing the late-joinresponses is TCP. At least one embodiment further includes periodicallytransmitting, from the MDPD to the downstream device, copies of themaintained current local lists of active orders for the ticker symbolsin the ticker-symbol subset.

In at least one embodiment, the MDPD transmits both a first instance ofan output feed and a time-delayed instance of the output feed.

Another embodiment takes the form of an MDPD that includes acommunication interface, a processor, and data storage containinginstructions executable by the processor for causing the MDPD to carryout any of the combinations of functions listed in the precedingparagraphs of this section. Another embodiment takes the form of an MDPDthat includes data storage in which the MDPD is configured to maintainan output-feed profile that specifies a ticker-symbol subset from amonga plurality of ticker symbols. The MDPD also includes a plurality ofexternal data ports including a first external data port and a secondexternal data port. The MDPD is configured to receive, from an upstreamdevice and via the first external data port, an input feed of order-bookupdates to respective ticker symbols in a plurality of ticker symbols.The MDPD also includes a programmable logic circuit (PLC) that isconfigured to generate, at the MDPD, a market-data output feed from thereceived input feed at least in part by (i) filtering the received inputfeed down to a filtered feed of the order-book updates to the respectiveticker symbols in the ticker-symbol subset and (ii) generatingmarket-data-output-feed messages that respectively convey the order-bookupdates in the filtered feed. The MDPD is further configured to transmitthe generated market-data output feed from the MDPD to a downstreamdevice via the second external data port at least in part bytransmitting the generated market-data-output-feed messages from theMDPD to the downstream device via the second external data port. TheMDPD also includes a host processor that is configured to (i) store, atthe MDPD, cached copies of at least the order-book updates from theinput feed that respectively correspond with market-data-output-feedmessages in the generated market-data output feed and (ii) provide, fromthe MDPD to the downstream device, a gap-fill service for the generatedmarket-data output feed using the cached order-book-update copies.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a first view of an example communication system that includesan example upstream device, an example market-data processing device(MDPD), and an example downstream device, in accordance with at leastone embodiment.

FIG. 2 is a second view of the example communication system of FIG. 1,in accordance with at least one embodiment.

FIG. 3 is a third view of the example communication system of FIG. 1, inaccordance with at least one embodiment.

FIG. 4 is a fourth view of the example communication system of FIG. 1,in accordance with at least one embodiment.

FIG. 5 is a fifth view of the example communication system of FIG. 1, inaccordance with at least one embodiment.

FIG. 6 is a sixth view of the example communication system of FIG. 1, inaccordance with at least one embodiment.

FIG. 7 depicts an example crosspoint switch, in accordance with at leastone embodiment.

FIG. 8 depicts the example crosspoint switch of FIG. 7, configured withinternally mapped connections consistent with FIG. 5, in accordance withat least one embodiment.

FIG. 9 depicts the example crosspoint switch of FIG. 7, configured withinternally mapped connections consistent with FIG. 6, in accordance withat least one embodiment.

FIG. 10 is a flowchart of an example method, in accordance with at leastone embodiment.

FIG. 11 is a seventh view of the example communication system of FIG. 1,in accordance with at least one embodiment.

FIG. 12 is an eighth view of the example communication system of FIG. 1,in accordance with at least one embodiment.

FIG. 13 is a flowchart of an example method, in accordance with at leastone embodiment.

FIG. 14 is a partial view of an example architecture of the MDPD of FIG.1, in accordance with at least one embodiment.

FIG. 15A depicts the first of two parts of an example of active orderlist maintenance based on an example input feed, in accordance with atleast one embodiment.

FIG. 15B depicts the second of the two parts of the example of activeorder list maintenance that begins on FIG. 15A, in accordance with atleast one embodiment.

FIG. 16A depicts a first example input feed, in accordance with at leastone embodiment.

FIG. 16B depicts a second example input feed, in accordance with atleast one embodiment.

FIG. 16C depicts a first example output feed, in accordance with atleast one embodiment.

FIG. 16D depicts a second example output feed, in accordance with atleast one embodiment.

FIG. 17 depicts an example communication sequence, in accordance with atleast one embodiment.

FIG. 18A depicts a third example input feed, in accordance with at leastone embodiment.

FIG. 18B depicts a third example output feed, in accordance with atleast one embodiment.

FIG. 18C includes a plurality of example views of an example activeorder list that is based on the third example output feed of FIG. 18B,in accordance with at least one embodiment.

FIG. 18D depicts example input-feed-to-output-feed mapping datacorrelating the order-book updates of the third example input feed ofFIG. 18A with the order-book updates of the third example output feed ofFIG. 18B, in accordance with at least one embodiment.

FIG. 18E depicts a first example annotation-architecture configurationof a PLC for an MDPD, in accordance with at least one embodiment.

FIG. 18F depicts a second example annotation-architecture configurationof a PLC for an MDPD, in accordance with at least one embodiment.

FIG. 19 is a first view of an example communication system that includesan upstream device, a second example MDPD, and an example downstreamdevice, in accordance with at least one embodiment.

FIG. 20 is a second view of the example communication system of FIG. 19,in accordance with at least one embodiment.

FIG. 21 is a third view of the example communication system of FIG. 19,in accordance with at least one embodiment.

FIG. 22 is a fourth view of the example communication system of FIG. 19,in accordance with at least one embodiment.

FIG. 23 is a fifth view of the example communication system of FIG. 19,in accordance with at least one embodiment.

FIG. 24 is a sixth view of the example communication system of FIG. 19,in accordance with at least one embodiment.

FIG. 25 is a flowchart of an example method, in accordance with at leastone embodiment.

FIG. 26 is a view of an example communication system that includes anexample upstream device, a third example MDPD, and an example downstreamdevice, in accordance with at least one embodiment.

FIG. 27 is a first view of an example communication system that includesan example upstream device, an example MDPD, an example arbitrationdevice, and an example downstream device, in accordance with at leastone embodiment.

FIG. 28 is a view of an example communication system that includes anexample upstream device, an example MDPD, and an example downstreamdevice that itself includes an arbitration module and a feed-processingmodule, in accordance with at least one embodiment.

FIG. 29 is a flowchart of an example method, in accordance with at leastone embodiment.

FIG. 30A is a second view of the example communication system of FIG.27, in accordance with at least one embodiment.

FIG. 30B is a third view of the example communication system of FIG. 27,in accordance with at least one embodiment.

FIG. 31 is a fourth view of the example communication system of FIG. 27,in accordance with at least one embodiment.

FIG. 32 is a fifth view of the example communication system of FIG. 27,in accordance with at least one embodiment.

FIG. 33 is a sixth view of the example communication system of FIG. 27,in accordance with at least one embodiment.

FIG. 34 is a flowchart of an example method, in accordance with at leastone embodiment.

FIG. 35 is a seventh view of the example communication system of FIG.27, in accordance with at least one embodiment.

FIG. 36 is a flowchart of an example implementation of one of the stepsof the example method of FIG. 34, in accordance with at least oneembodiment.

FIG. 37A is the first of three parts of an example timetable that tracksan example handling by an example arbitration device of multiple exampleorder-book updates received among multiple different market-data feeds,in accordance with at least one embodiment.

FIG. 37B is the second of the three parts of the example timetable thatbegins on FIG. 37A, in accordance with at least one embodiment.

FIG. 37C is the third of the three parts of the example timetable thatbegins on FIG. 37A, in accordance with at least one embodiment.

Moreover, before proceeding with this disclosure, it is noted that theentities, connections, arrangements, and the like that are depictedin—and described in connection with—the various figures are presented byway of example and not by way of limitation. As such, any and allstatements or other indications as to what a particular figure“depicts”, what a particular element or entity in a particular figure“is” or “has”, and any and all similar statements—that may in isolationand out of context be read as absolute and therefore limiting—can onlyproperly be read as being constructively preceded by a clause such as“In at least one embodiment . . . .” And it is for reasons akin tobrevity and clarity of presentation that this implied leading clause isnot repeated ad nauseum in the below detailed description of thedrawings.

Furthermore, in the present disclosure, one or more elements of one ormore embodiments are referred to as “modules” that carry out (i.e.,perform, execute, and the like) various functions that are describedherein in connection with the respective modules. As used herein, amodule includes hardware (e.g., one or more processors, one or moremicroprocessors, one or more microcontrollers, one or more microchips,one or more application-specific integrated circuits (ASICs), one ormore PLCs (e.g., one or more field programmable gate arrays (FPGAs)),one or more memory devices, and/or the like) deemed suitable by those ofskill in the relevant art for a given implementation. Each describedmodule also includes instructions executable by the aforementionedhardware for carrying out the one or more functions described herein asbeing carried out by that module. Those instructions could take the formof or include hardware (i.e., hardwired) instructions, firmwareinstructions, software instructions, and/or the like, and may be storedin any suitable non-transitory computer-readable medium or media, suchas those often referred to as random-access memory (RAM), read-onlymemory (ROM), and/or the like.

DETAILED DESCRIPTION

Market data that originates from an exchange (or other tradingvenue)—such as Nasdaq (which originally stood for “National Associationof Securities Dealers Automated Quotations”), the New York StockExchange (NYSE), the Chicago Mercantile Exchange (CME), and/or thelike—conveys current values of the frequently changing prices of theassets that are listed on the particular exchange. Such assets couldinclude stocks, futures, derivative products, and/or the like. Thismarket data conveys the cumulative ability and willingness of theexchange participants to buy and sell various quantities of the variousassets at various different prices—i.e., to buy a specified quantity ofshares of a specified asset for no more than a specified per-sharebidding price or to sell a specified quantity of shares of a specifiedasset for no less than a specified per-share asking price. In typicalexchange parlance, the difference between the lowest current per-sharebidding price and the highest current per-share asking price for a giventraded asset is known as “the spread” for that asset.

In most contexts, consumers of such market data consider it to be quiteimportant that a given feed of market data to which they subscribe beconveyed to them reliably, with as little latency (i.e., delay) aspossible, and with as much latency determinism (i.e., consistency andtherefore predictability with respect to latency) as possible. Suchconsumer demands strain the computing and communication capacity of theindustry due at least in part to the typically cumbersome nature of themarket data in such feeds. This is largely for three reasons: (1) it issimply a great deal of information, (2) the amount of bandwidth (i.e.,the capacity of a given medium to convey data at a certain effectiverate (i.e., a certain quantum of data per a certain unit time)) thatwill be needed at any given time is unpredictable, and (3) the typicalarrangement of market data makes it quite difficult to provide—andconsequently to receive-only meaningful subsets of the vast amount ofdata that emanates from its respective exchange in these unpredictablefits and starts.

Moreover, market-data volumes (measured in, e.g., messages per second)are higher than ever and continue to increase. There are at least tworeasons for this. First, the U.S. trading landscape is becomingincreasingly fragmented for at least the reason that certainderegulation—that made permissible the trading of a single security onmultiple venues—has led to the formation of new venues. Second,innovation has led to a proliferation of new and interesting financialproducts, almost all of which have a ‘fair value’ that is a derivativeof other, existing products. As an illustrative example, there was atime when a move of the front-month Standard & Poor's (S&P) 500 futurescontract at the CME would merely cause arbitrageurs to move the pricesof the 500 stock constituents of that well-known index. In more recenttimes, however, such a move precipitates the immediate subsequent moveof many hundreds or thousands of secondary and tertiary financialproducts. As trading participants arbitrage these secondary and tertiaryfinancial products to reflect the instantaneous change in perceived fairvalue, the number of messages per second spikes enormously though onlyfor a very brief period.

This is one reason that a market-data feed that is conveying thisinformation can experience high volume even when relatively littletrading is happening (i.e., even when market volatility is relativelylow). And it will be appreciated by those of skill in the art with thebenefit of this disclosure that communication links that may havesufficient bandwidth to handle this market-data traffic if it weresufficiently uniformly temporally distributed throughout the day oftendo not have sufficient bandwidth to handle these messaging spikeswithout significant buffering and even dropping of packets. Becausemarket-data-feed packets are often sent using the unreliable UserDatagram Protocol (UDP) as the transport-layer (i.e., layer 4) protocol,this can cause significant problems for consumers that are attempting tokeep track of the changing asset prices of these securities inreal-time.

As these trends—toward increased fragmentation of the trading landscape,increased pervasiveness of secondary and tertiary financial products,and corresponding increased messaging volume and messaging-spikeseverity—continue, it becomes ever more important to reduce the volumeof market data before “putting it on the wire” (i.e., transmitting it)to the downstream consumer. The alternative—to endeavor to stay ahead ofthese trends by purchasing ever more powerful (and more expensive)equipment (e.g., servers, routers, switches, and the like) and everbigger (and more expensive) “pipes” for data transmission—is becoming anever more intractable solution in today's world. This is true for atleast the reason that a meaningful upgrade requires an upgrade of everytransmission link and every piece of link-termination equipment on agiven communication path. A chain is truly only as strong as its weakestlink.

One way to reduce the average amount of data per unit time—and thecorrelated magnitude of any message spikes—that a given communicationlink is asked to handle is to filter the market data down to a subset ofthe market-data feed according to one or more criteria prior to puttingthat market data on the wire. This is among the subject matter of U.S.Pat. No. 9,674,118, entitled “System and Method for Low-Latency NetworkData Switching”, which issued Jun. 6, 2017 to Applicant xCelor LLC ofChicago, Ill., and which is hereby incorporated herein by reference inits entirety. This pre-transmission filtering of course incurs a cost interms of time (i.e., latency) prior to sending out the market-data feed,but that cost may well be worth it in light of the commensurateimprovement in metrics such as (increasing) latency determinism and(decreasing) packet loss.

In cases where only a single physical link is available between a pointA (i.e., a transmitter of a market-data feed) and a point B (i.e., arecipient of that market-data feed), a reduction in the overall amountof market data that is transferred from point A to point B may be theonly option (outside of infrastructure upgrades) for achieving theaforementioned goals of sufficiently high latency determinism andsufficiently low packet loss while maintaining sufficiently low latency.This is simply the one-link base case, however, for the more generalgoal of having adequate per-link capacity to handle even message-spikedata rates.

Thus, if multiple physical links between point A and point B areavailable, this goal can be achieved in some instances by segmenting themarket-data feed across those multiple links-so as to acceptably reducethe overall and instantaneous demand on any one of them—and recombiningthe information at point B. The availability of this option depends ofcourse on a network administrator having sufficient resources toestablish the above-mentioned N separate communication links from pointA to point B. Again, some latency will be incurred on the sender side inconducting the segmentation, and some latency will be incurred on thereceiver side in conducting the recombination. But again, these costsmay well be worth it to achieve high determinism and low packet losswith a still acceptably low level of latency.

The above-described segmentation of a market-data feed across separatephysical communication links is one example mechanism for what isdescribed herein as partitioning a market-data feed. As the term is usedherein, to partition a market-data feed means to subdivide or channelizethe feed by shunting the packets that make up the feed among N distinctchannels for transmission from a given point A to a given point B. It isfurther noted that, as explained herein, there could be more than onepoint B (i.e., a point B1, a point B2, etc.) for a given customizedmarket-data output feed according to the present systems and methods.Moreover, in this disclosure, N is an integer greater than 1.Accordingly, in the parlance of this disclosure, a partitionedmarket-data feed has 2 or more partitions; correspondingly, anon-partitioned feed is referred to as such (rather than being referredto as a one-partition feed or as a single-partition feed). This is forsemantic consistency and clarity, and not by way of limitation.

Partitioning is a many-faceted subject along at least three dimensions.First, there are of course as many options for N as there are integersgreater than one. Second, there are countless options for deciding whichpackets to shunt into which partitions. Third, there are numerousalternatives for partitioning mechanisms that one could use to actuallyrealize the partitioning. Examples along each of these dimensions arediscussed herein.

In cases where the partitioning mechanism is to use a separate physicalmedium on a per-partition basis, partitioning may be important inactually getting all of the required data from point A to point B in anacceptable timeframe. Some partitioning mechanisms, however, areagnostic to the number of physical transmission links that are utilizedin a given implementation. Two such example partitioning mechanisms thatare used herein are (i) partitioning by IP-multicast-destinationaddressing and (ii) partitioning by transmission in a repeatingsequential position and/or timeslot. These sorts of partitioningmechanisms assist recipients to the extent the partitioning scheme isknown to and useful to the recipient, such that the recipient can shuntreceived packets to different internal processes and/or other devicesbased on the partition in which the packets are received (i.e., withouthaving to inspect packet-payload contents prior to making routingdecisions). If partitioning is done in a way, however, that is either orboth of not known to and not useful to the recipient, this partitioningwill likely fall somewhere between being irrelevant to the recipient andbeing a burden on the recipient.

Modern switches and routers allow partitioning based on packet metadatasuch as IP multicast destination addresses and/or ports. Partitioningmarket-data feeds from modern exchanges, however, is easier said thandone. As a general matter, partitioning with a generic network switch orrouter requires that the publisher of the data—i.e., the exchangeitself—has ‘packaged’ it appropriately. Nasdaq does not partition itsequity market data at all: all data is published on a single multicastchannel—a consumer can receive all or none with no options in between.As another example, Bats Global Markets (Bats), which is a Chicago BoardOptions Exchange (CBOE) company, offers BZX equity data on 32 differentmulticast channels, each of which conveys updates for an alphabeticallygrouped set of ticker symbols. These groupings may be useful to someconsumers but are arbitrary and limiting by nature for at least thereason that secondary and tertiary financial products are often tradedunder symbols that start with a different letter of the alphabet thanthe symbol of which they are derivative products. As another example,CME partitions its data by sector: financials, energy, metals, etc. Thisgrouping is less arbitrary though still inflexible and thereforelimiting.

In today's world, market-data feeds are constructed once by theirassociated exchange and delivered to all consumers according to anexchange-specific standard menu of (zero or more) choices. Moreover,current switches and routers can make decisions based on packet metadatasuch as multicast channel/port, source IP address, and the like, but bydesign are ignorant of the content of the messages themselves: they arebuilt to be generic, able to be applied to any switching problem theworld can throw at them. Embodiments of the present systems and methodsspring from these observations and others, and for the first time offerconsumers the ability to partition a market-data feed in a way that isuseful specifically to them, and to change their mind at any time.Additionally, embodiments of the present systems and methods offerconsumers the ability to filter and partition market-data feeds, and toreceive those filtered-and-partitioned market-data feeds if they sodesire formatted according to a market-data protocol of their choosingregardless of the market-data protocol in which the originating exchangeformatted the same substantive data.

Moreover, any of the variations and permutations described in thisdisclosure can be implemented with respect to any embodiments, includingwith respect to any method embodiments and with respect to any systemembodiments. Furthermore, this flexibility and cross-applicability ofembodiments is present in spite of the use of slightly differentlanguage (e.g., process, method, steps, functions, set of functions, andthe like) to describe and/or characterize such embodiments FIG. 1 is afirst view of an example communication system involving an exampleupstream device, an example MDPD, and an example downstream device, inaccordance with at least one embodiment. In particular, FIG. 1 depicts aview 100 that includes an upstream device 102, an MDPD 104, and adownstream device 106. As can be seen in FIG. 1, the MDPD 104 (i)receives an input feed 116 (e.g., the market-data feed available fromNasdaq) from the upstream device 102 (e.g., a Nasdaq server) and (ii)transmits a customized filtered-and-partitioned market-data output feed118—which is also referred to hereinafter at times as “the customizedmarket-data output feed 118”, “the output feed 118”, and/or the like—tothe downstream device 106 (e.g., a client device arranged to consume theoutput feed 118). The particulars of how the MDPD 104 in variousdifferent embodiments generates the output feed 118 from the input feed116 are described throughout this disclosure, as the view 100 isprovided by way of a high-level overview.

The MDPD 104 includes data storage 108 that contains what is referred toherein as an output-feed profile 110. As shown in FIG. 1, theoutput-feed profile 110 contains (i.e., contains data defining) aticker-symbol subset 112 and a ticker-symbol-based feed-partitioningscheme 114. As described further herein, the MDPD 104 uses theoutput-feed profile 110—including the ticker-symbol subset 112 and theticker-symbol-based feed-partitioning scheme 114—in generating theoutput feed 118 from the input feed 116. In at least one embodiment, itis expected that the one-way traversal time of the MDPD 104 by a givenorder-book update from being received by the MDPD 104 in the input feed116 to being retransmitted by the MDPD 104 in the output feed 118 to beon the order of 500 nanoseconds (ns) to 1 microsecond (μs), andtypically closer to 500 ns.

In at least one embodiment, the upstream device 102 resides at afinancial exchange from which the input feed 116 originates. In at leastone embodiment, the upstream device 102 is an upstream MDPD—i.e., MDPDscan be daisy-chained together to accomplish even more powerfulfunctionality than is possible with a single MDPD. In at least oneembodiment, the downstream device 106 is a client device. In at leastone embodiment, the downstream device 106 is a downstream MDPD as partof a daisy-chaining arrangement.

Among the benefits and advantages of the present systems and methods isthat, in at least some embodiments, the MDPD 104 emulates an exchangesuch as Nasdaq, NYSE, CME, and/or the like. In various differentembodiments, the MDPD 104 emulates an exchange in a number of ways.

First, in some embodiments, the MDPD 104 emulates an exchange at leastin part by generating and transmitting one or more market-data feeds(such as the output feed 118) formatted according to a protocol (e.g.,Nasdaq ITCH) used by an exchange, such that a downstream device (such asthe downstream device 106) that is (assumed in this example to be)configured to handle Nasdaq ITCH data would be able to handle the datain the output feed 118.

Second, in some embodiments, the MDPD 104 emulates an exchange at leastin part by providing gap-fill and/or late-join services to thedownstream device 106 (and perhaps one or more additional downstreamdevices), such that the downstream device 106 need only ask the MDPD 104for any of the downstream device 106's gap-fill and/or late-join needs,and in particular the downstream device 106 need not contact the actualexchange (e.g., the upstream device 102) with gap-fill or late-joinrequests.

Thus, in at least one embodiment, the MDPD 104 conducts intelligentswitching, which is switching with knowledge of the data flowing throughthe “pipes”. In an example scenario, the input feed 116 contains ticks(i.e., order-book updates) on 10,000 symbols and the output feed 118filters that down to the updates that pertain to a certain 300-symbolsubset of those 10,000 symbols. This has a significant impact on theamount of data conveyed: less bandwidth is required and microbursts(i.e., messaging spikes) are substantially smoothed. This in turn meansthat smaller pipes are needed. Indeed, it may even permit a downgrade inexpensive infrastructure despite growing market-data volumes.

FIG. 2 is a second view of the example communication system of FIG. 1,in accordance with at least one embodiment. In particular, FIG. 2 is aview 200 that, like the view 100 of FIG. 1, shows the upstream device102, the MDPD 104, and the downstream device 106, as well as the inputfeed 116 and the output feed 118. In FIG. 2, the data storage 108containing the output-feed profile 110 is not explicitly depicted. As isthe case with FIG. 2, it is the case with a number of the figures inthis disclosure that certain aspects are left out of certain figures forclarity of presentation, and also to demonstrate that the presentsystems and methods can be implemented using a wide array of variousdifferent hardware architectures.

The MDPD 104 may have a plurality of (e.g., more than two) external dataports, though only two are depicted in FIG. 2: an external data port 202and an external data port 204. In the example shown in FIG. 2, the MDPD104 is configured to receive the input feed 116 from the upstream device102 via the external data port 202, and is configured to transmit theoutput feed 118 to the downstream device 106 via the external data port204. The external data ports (including 202 and 204 and any others thatmay be present) of the MDPD 104 could be any suitable communicationports, such as small form-factor pluggable (SFP) data ports, enhancedsmall form-factor pluggable (SFP+) data ports, quad-small form-factorpluggable (QSFP) data ports, enhanced quad small form-factor pluggable(QSFP+) data ports, and/or the like.

It is noted that both the input feed 116 and the customized market-dataoutput feed 118 are labeled at multiple places (in this case two each)in FIG. 2 in order to show that certain elements, such as the externaldata ports 202 and 204 in this case, are essentially pass-throughelements that do not substantively change the data that passes throughthem. This convention is followed in ensuing figures as well.

As is known in the art, the input feed 116 may be (i.e., may be or atleast include) a feed of order-book updates to respective ticker symbolsin a plurality of ticker symbols, where that plurality of ticker symbolscould be, for example, the full set of ticker symbols in the Nasdaq feed(i.e., the full set of ticker symbols that are potentially though notnecessarily present in the Nasdaq feed at any given moment—i.e., thefull set of ticker symbols that are traded on Nasdaq). The input feed116 could be, for example, a feed from Nasdaq in the ITCH format, a feedfrom a financial exchange, a feed from an upstream MDPD, a feed from theNYSE in the XDP format, and/or another feed in another format fromanother financial exchange. In many implementations, a market-data feedis sent as a series of UDP packets. And certainly other possibilitiescould be listed here as well.

Thus an example order-book update in an incremental feed such as theinput feed 116 might convey information such as “there is a new buyeroffering to buy 1,000 shares of XYZ (an arbitrary stock symbol) for nomore than $124.61 per share; this order shall henceforth be known asorder number 11442”. Of course the formatting of such an order-bookupdate (referred henceforth as an “add-order” update) would tend to bein the form of codes and data delineated among predefined fields (ratherthan the conversational language used by way of example in the precedingsentence). Subsequent incremental order-book updates might modify (a“modify-order” update) and/or cancel (a “cancel-order” update) thatorder, add additional orders (to buy and/or sell), etc. In the contextof “incremental” feeds, then, it is incumbent upon the recipient of sucha feed to apply received incremental order-book updates to their ownrecords (i.e., order books) in order to have up-to-date information onwhich to, e.g., make trading decisions.

An order is said to be “active” if it has been added through anadd-order update, and has not yet been removed from considerationthrough a subsequent cancel-order update referring to the same order.

If a recipient determines at a certain point that they missed—or evenmay have missed—one or more messages, they can request “gap-fill”information to obtain missing messages, as is known in the relevant art.If they have missed too many messages or join trading activitysufficiently long after it has begun, they can request “late-join”information to be caught up to date with a current list of active orders(also known as an “order book”) (to which they can then start applyingincremental updates). And in some implementations, gap-fill requeststhat request too many messages and/or messages that are no longerarchived by the responding party are responded to with late-joininformation rather than gap-fill information.

In the embodiment that is depicted in FIG. 2, the MDPD 104 also includesa PLC 206, which could be an FPGA. In FIG. 2, a portion of the PLC 206is configured to be an operational copy 210 of the output-feed profile110, referred to herein as the operational output-feed profile 210. Theoperational output-feed profile 210 is shown in FIG. 2 as including atleast two digital-logic segments: a digital-logic segment 212corresponds to the ticker-symbol subset 112 and is used to carry out thefiltering step that is described herein at least in connection with step1008 of the method 1000 of FIG. 10, and a digital-logic segment 214corresponds to the ticker-symbol-based feed-partitioning scheme 114 andis used to carry out the partitioning step that is described herein atleast in connection with step 1010 of the method 1000. In at least oneembodiment, each digital-logic segment 212 and 214, and indeed theoperational output-feed profile 210 as a whole, are operational to carryout at least the functions described herein in connection therewith bybeing a programmed set of digital-logic gates and the like that executefunctions reflected in code written by those of skill in the art toperform said functions.

FIG. 3 is a third view of the example communication system of FIG. 1, inaccordance with at least one embodiment. In particular, FIG. 3 is a view300 that, similar to the view 100 of FIG. 1 and the view 200 of FIG. 2,depicts the MDPD 104 (i) receiving the input feed 116 from the upstreamdevice 102 and (ii) transmitting the output feed 118 to the downstreamdevice 106. FIG. 3 includes the data storage 108 (that is depicted inFIG. 1 but not in FIG. 2) containing the output-feed profile 110 thatincludes the ticker-symbol subset 112 and the ticker-symbol-basedfeed-partitioning scheme 114. As a complement to the operationaloutput-feed profile 210, the output-feed profile 110 is referred toherein at times as the management copy of the output-feed profile—i.e.,as the management output-feed profile 110. FIG. 3 includes severalelements that are depicted in FIG. 2 but not in FIG. 1, namely theexternal data port 202, the external data port 204, and the PLC 206(including the operational output-feed profile 210 having thedigital-logic segment 212 and the digital-logic segment 214).

It can be seen in FIG. 3 that the input feed 116 is received by the MDPD104 from the upstream device 102 via the external data port 202, andthat the input feed 116 traverses a crosspoint switch 302 on its way tothe PLC 206, in which the input feed 116 is processed by the operationaloutput-feed profile 210, including by the digital-logic segment 212 andthe digital-logic segment 214. And it can further be seen in FIG. 3 thatthe output feed 118 is generated by the operational output-feed profile210 (including by the digital-logic segment 212 and the digital-logicsegment 214) of the PLC 206, and that the output feed 118 traverses thecrosspoint switch 302 on its way to being sent to the downstream device106 via the external data port 204. A suitable crosspoint switch 302 maybe obtained from MACOM Technology Solutions, which is headquartered inLowell, Mass., among other options known to those of skill in the art.

The major elements of the MDPD 104 that are newly appearing in the view300 of FIG. 3—as compared with the views 100 and 200 of FIGS. 1 and 2,respectively—are the crosspoint switch 302 and a host 304. Thecrosspoint switch 302 is described more fully below in connection withFIGS. 7-9. Depicted in FIG. 3 with respect to the crosspoint switch 302are four crosspoint data ports 316, 318, 320, and 322, as well as acrosspoint control port 324, which is also discussed below in connectionwith FIGS. 7-9.

In the depicted embodiment, the host 304 includes a host processor 332.The crosspoint control port 324 is accessible over a control bus 326 toallow the host processor 332 to configure the various connectionmappings between crosspoint ports in the crosspoint switch 302. In atleast one embodiment, the control bus 326 is or includes a UniversalSerial Bus (USB) connection. The host processor 332 could be a softwareand/or firmware process executing on a hardware processor, or it coulditself be a hardware element such as an FPGA, a microprocessor, or thelike—such a design choice is left to those of skill in the art. In someembodiments, the host processor 332 is or includes an Intel Xeonprocessor. Alternatively, the host processor 332 may be or includeanother processor. The host processor 332 may include its own memoryhardware. In some embodiments, the host processor 332 is configured torun a Linux Ubuntu kernel. And certainly other possibilities could belisted here as well.

The crosspoint switch 302 receives the input feed 116 from the externaldata port 202 via the crosspoint data port 316, which is internallymapped to the crosspoint data port 318, which in turn is connected to aPLC data port 328 of the PLC 206. The crosspoint switch 302 receives thecustomized market-data output feed 118 from a PLC data port 330 of thePLC 206 via the crosspoint data port 322, which is internally mapped tothe crosspoint data port 320, via which the customized market-dataoutput feed 118 is conveyed to the external data port 204.

In the depicted embodiment, the PLC 206 and the host processor 332communicate with one another via a PCI Express (PCIe) bus (or other typeof bus) 346, a data interface 348 (which is depicted herein in variousdifferent embodiments as being part of the PLC 206 or external to thePLC 206, either of which may be the case in a given embodiment), a datainterface 350 of the host 304, and a data connection 344 of the host304. This communication is two-way, as described herein. The hostprocessor 332 can configure the PLC 206 (e.g., update the operationaloutput-feed profile 210, perhaps to reflect user modifications) via thePCIe bus 346. In some embodiments, the data interface 348 is or includesa logic control interface via which the PLC 206 can be configured.Moreover, the PLC 206 can convey data (useful to the host 304 (e.g., thehost processor 332) in, e.g., responding to gap-fill and late-joinrequests) to the host processor 332 via the PCIe bus 346. And certainlynumerous other example types of data that could be communicated acrossthe PCIe bus 346 could be listed here.

The host processor 332 of the host 304 can access the data storage 108via a suitable data-storage interface 334. Moreover, the host processor332 can configure the various possible crosspoint-switch-internal (i.e.,internal to the crosspoint switch) connections of the crosspoint switch302 via a control path 338, an interface 336, and the aforementionedcontrol bus 326 and crosspoint control port 324. The interface 336 couldbe a relatively simple pass-through-type port, or could instead be amore complex crosspoint-control interface that presents a certainapplication programming interface (API) to the host processor 332 andtranslates between that API and whatever form of commands, instructions,and/or the like the crosspoint switch 302 is configured to receive viathe crosspoint control port 324. And certainly other architectures couldbe used as well, including positioning such a crosspoint-controlinterface communicatively between the interface 336 and the crosspointcontrol port 324.

In the embodiment that is depicted in FIG. 3, the host 304 furtherincludes a network interface controller (NIC) 340 that iscommunicatively connected to the host processor 332 via adata-and-control connection 342. The NIC 340 could be any NIC deemedsuitable for a given implementation by those of skill in the art, andcould be rated for data-transfer rates such as 1 gigabit per second(Gbps), 10 Gbps, 40 Gbps, 100 Gbps, and/or the like.

Moreover, it can be seen in the example arrangement that is depicted inFIG. 3 that the MDPD 104 has a connection to a data network 352 that isdepicted in FIG. 3 using a dashed-and-dotted line. The host 304, and inparticular the host processor 332, of the MDPD 104 is connected to thedata network 352 by way of the NIC 340 and the data-and-controlconnection 342. As shown, the host 304 can communicate via the datanetwork 352 with at least the downstream device 106 and the upstreamdevice 102. Note that, even though it is depicted this way, it is not atall necessary and would likely not be the case that the host 304 wouldhave to communicate with the upstream device 102 over the data network352 via the downstream device 106. The purpose of depicting multipledevices—in this case the upstream device 102, the downstream device 106,and the MDPD 104 (by way of the NIC 340)—being in communicativeconnection with the data network 352 is simply to show that each ofthose devices could have a data connection to the data network 352, notthat any particular order of communication via any particular sequenceof devices would be necessary. This convention is followed in ensuingfigures as well.

The data network 352 could be an Internet Protocol (IP) network such asthe Internet, one or more other public IP networks, one or more privateIP networks, and/or the like. Devices may communicate with one anothervia the data network 352 using static and/or dynamically assigned IPaddresses, as is known in the art. Moreover, at the transport layer, atransport protocol such as UDP or the Transport Control Protocol (TCP)may be used, among other options known to those in the art.

FIG. 4 is a fourth view of the example communication system of FIG. 1,in accordance with at least one embodiment. In particular, FIG. 4depicts a view 400 that is similar in many ways to the view 300 of FIG.3. One notable difference is that, in the view 400, the crosspointswitch 302 and the PLC 206 are both deployed on a common circuit board402. It is noted that the host 304 is still deployed on its own board(not individually numbered) and that the host 304 communicates with thecircuit board 402—and therefore with at least the PLC 206 that isdeployed thereon—via the PCIe bus 346.

Moreover, it is also noted that, in the embodiment that is depicted inFIG. 4, despite the deployment of the crosspoint switch 302 on thecircuit board 402, the host 304 still communicates with the crosspointswitch via the control bus 326. In other embodiments, however, thedeployment of the crosspoint switch 302 on the circuit board 402obviates the need for the host 304 to communicate directly with thecrosspoint switch via, e.g., the control bus 326. Indeed, in someembodiments (not depicted), the crosspoint control port 324 of thecrosspoint switch 302 is communicatively connected to a circuit-boardinterface on the circuit board 402, and the host 304 can then configurethe crosspoint switch 302 via a connection provided by the circuit board402 to that circuit-board interface. And certainly other configurationscould be implemented as well.

In the embodiment that is depicted in FIG. 4, the host 304 furtherincludes a user interface (UI) 404 and a management network interface(MNI) 406. One or both of those may not be present in some embodiments.Moreover, one or both of the UI 404 and the MNI 406 that are depicted inFIG. 4 as being part of the host 304 could instead be separate from andcommunicatively connected to the host 304. And certainly otherarrangements are possible.

The UI 404 may include a command-line interface (CLI) and/or a graphicuser interface (GUI), as examples, configured to receive, from a user,instructions regarding the configuration of the MDPD 104. Similarconfiguration instructions may instead or in addition be received viathe MNI 406. The host 304 may then configure the PLC 206 and/or thecrosspoint switch 302 according to such instructions. A user may be ableto log on remotely via the MNI 406. And certainly other arrangements arepossible. In some embodiments, the circuit board 402 includes apulse-per-second (PPS) input for use in one or more time-stampingfunctions, such as inclusion of a high-precision timestamp in the outputfeed 118.

FIG. 5 is a fifth view of the example communication system of FIG. 1, inaccordance with at least one embodiment. In particular, FIG. 5 depicts aview 500 that is similar in many ways to the view 400 of FIG. 4. Newlyappearing on FIG. 5 is a memory chip 502 that is also deployed on thecircuit board 402. The memory chip 502 is depicted as being connectedvia a connection 504 to a port 506 on the PLC 206. The memory chip 502may be any memory chip (or combination of memory chips) deemed suitableby those of skill in the art for a given implementation.

As one example of a way in which the PLC 206 may store data on andretrieve data from the memory chip 502, the MDPD 104 may, at a firsttime, receive an order-book update that is an add-order update that (i)pertains to a given ticker symbol in the ticker-symbol subset and (ii)includes a given order number, and responsively operate the PLC 206 tostore an association in the memory chip 502 between the given ordernumber and the given ticker symbol. The MDPD 104 may thereafter, at asecond time, receive a subsequent order-book update that includes thegiven order number but does not include the given ticker symbol, andresponsively (i) operate the PLC 206 to use the given order number fromthe subsequent order-book update to retrieve the given ticker symbolfrom the stored association in the memory chip 502, (ii) generate, atthe PLC 206, a given customized-market-data-output-feed message that (a)pertains to (and indeed includes) the retrieved given ticker symbol and(b) conveys the subsequent order-book update, and (iii) transmit thegiven customized-market-data-output-feed message from the MDPD 104 tothe downstream device 106. And certainly numerous other examples couldbe listed here as well.

FIG. 6 is a sixth view of the example communication system of FIG. 1, inaccordance with at least one embodiment. In particular, FIG. 6 depicts aview 600 that is similar in many ways to the view 500 of FIG. 5. Some ifnot all of the elements that are depicted in FIG. 6—that are not alsodepicted in any of the FIGS. 1-5—pertain to demonstrating that the MDPD104 can generate more than one customized filtered-and-partitionedmarket-data output feed. And while the MDPD 104 is shown in anarrangement for producing multiple output feeds based on a single inputfeed, the MDPD 104 could just as well produce multiple output feeds fromvarious different respective input feeds. And certainly otherpossibilities could be listed here as well.

The intake of the input feed 116 is the same as in the previouslydescribed examples. In particular, the MDPD 104 receives the input feed116 from the upstream device 102 via the external data port 202,crosspoint data ports 316 and 318 of the crosspoint switch 302, and thePLC data port 328. In the depicted embodiment, the PLC 206 generates asecond copy of the input feed 116, feeding the first copy into theoperational output-feed profile 210 as before, and feeding the secondcopy into an operational output-feed profile 620. It is noted that, inother embodiments, the crosspoint switch 302 may generate the secondcopy of the input feed 116 and separately transmit that second copy to aPLC data port of the PLC 206. Such design choices are within the skillof those in the relevant art.

In the embodiment that is depicted in FIG. 6, the data storage 108, asbefore, contains the management output-feed profile 110 that itselfincludes the ticker-symbol subset 112 and the ticker-symbol-basedfeed-partitioning scheme 114, but also contains a second managementoutput-feed profile 610 that itself includes a ticker-symbol subset 612and a ticker-symbol-based feed-partitioning scheme 614, which could (andlikely would) be different from the ticker-symbol subset 112 and theticker-symbol-based feed-partitioning scheme 114 of the managementoutput-feed profile 110. As the reader might expect, the operationaloutput-feed profile 620 corresponds to the management output-feedprofile 610; accordingly, the digital-logic segment 622 corresponds tothe ticker-symbol subset 612 and the digital-logic segment 624corresponds to the ticker-symbol-based feed-partitioning scheme 614.

As can be seen in FIG. 6, the PLC 206, as before, generates thecustomized filtered-and-partitioned output feed 118 using theoperational output-feed profile 210. It can further be seen in FIG. 6that the PLC 206 also uses the operational output-feed profile 620 inparallel to generate a second customized filtered-and-partitioned outputfeed 628. In the depicted embodiment, the PLC 206 transmits the outputfeed 628 via a PLC data port 638 to a crosspoint data port 636 of thecrosspoint switch 302.

Another interesting wrinkle that is implemented in some embodiments isdepicted in FIG. 6, where it can be seen that the crosspoint switch 302receives the output feed 118 from the PLC 206 via the crosspoint dataport 322 and also receives the output feed 628 from the PLC 206 via thecrosspoint data port 636. From there, pursuant to the configurationinstructions that have been applied to the crosspoint switch 302 via thecrosspoint control port 324, the crosspoint switch 302, as before,transmits the output feed 118 via the crosspoint data port 320 and viathe external data port 204 to the downstream device 106, but also inparallel generates a second copy of the output feed 118 and transmitsthat second copy via a crosspoint data port 630 and via an external dataport 640 to a downstream device 650. Also in parallel, the crosspointswitch 302 generates a second copy of the output feed 628, and proceedsto transmit the first copy of the output feed 628 via a crosspoint dataport 632 and an external data port 642 to a downstream device 652, andalso in parallel transmits the second copy of the output feed 628 via acrosspoint data port 634 and an external data port 644 to a downstreamdevice 654.

Thus, the present systems and methods provide an approach that isscalable to as many unique output feeds as the PLC 206 can be configuredto produce and to as many copies of said output feeds as the crosspointswitch 302 can be configured to generate. And what's more, PLCs andcrosspoint switches of any suitable sizes can be used, as can multiplePLCs and/or multiple crosspoint switches. With respect to scale, in oneembodiment, the MDPD 104 has 32 external data ports, each of which areof type SFP+, and each of which is rated to operate at a data-transferrate of 10 Gbps. Such an architecture would facilitate having 32crosspoint data ports that operate to receive and/or transmit data viathose 32 external data ports, and in at least one embodiment 32additional crosspoint data ports to face—and interface with, ifutilized—the PLC 206; thus, in at least one embodiment, the crosspointswitch 302 has at least 64 total crosspoint data ports: 32 facing theoutside world, the other 32 facing the PLC 206. And certainly numerousother example architectures could be described as well.

FIG. 7 depicts an example crosspoint switch, in accordance with at leastone embodiment. As a general matter, a crosspoint switch is a hardwareelement that has a plurality of data ports—e.g., 64 data ports in theexample described in the preceding paragraph—among whichcrosspoint-switch-internal connections can be dynamically mapped bytransmitting configuration instructions (from, e.g., a host processor)to the crosspoint switch over an interface such as a USB connection.With respect to such crosspoint-switch-internal data connections, theseconnections can be one-to-one or one-to-many connections; in the case ofone-to-many connections, whatever data stream is received via the “one”port (in the one-to-many mapping) is then copied a sufficient number oftimes such that an exact copy of that data stream is emitted from eachof the “many” ports (in the same one-to-many mapping).

In particular, FIG. 7 is a view 700 of an example crosspoint switch 702,which could represent the crosspoint switch 302, but is shown in a moregeneric, not-yet-configured state in the view 700 of FIG. 7. As shown inFIG. 7, the crosspoint switch 702 has eight crosspoint data ports P1-P8that are respectively numbered 731-738. The crosspoint switch 702 alsohas a control port 704 that is similar in function to theabove-described crosspoint control port 324. The crosspoint switch 702is further depicted in FIG. 7 as having a dynamically configurable databus 740, along which crosspoint-switch-internal data connections can bedynamically mapped according to appropriate configuration commands beingreceived via the crosspoint control port 704.

Moreover, and simply for illustration, each crosspoint data port 731-738is shown as having two-way data communication with a respectiveconnection C1-C8, respectively numbered 711-718. These connections711-718 could be to external data ports, other devices, FPGA data ports,PLC data ports, and/or to any other suitable endpoints. Each suchconnection could include a suitable transceiver, though such are notdepicted in FIG. 7 merely for clarity of presentation and not by way oflimitation. As a general matter, it will be appreciated by those ofskill in the art that the depicted-and-described architecture of thecrosspoint switch 702 is presented here by way of example, and thatother architectures could be implemented as deemed suitable by those ofskill in the art. For example, any suitable number of crosspoint dataports could be present in a given implementation. As but one example,some embodiments involve crosspoint switches that each have on the orderof 1000 (e.g., 1024 (i.e., 2¹⁰)) crosspoint data ports. And certainlynumerous other examples could be listed here as well. Moreover, acrosspoint switch is sometimes referred to as a physical-layer crossconnect.

FIG. 8 depicts the example crosspoint switch of FIG. 7, configured withinternally mapped connections consistent with FIG. 5, in accordance withat least one embodiment. In particular, FIG. 8 depicts a view 800 inwhich the example crosspoint switch 702 of FIG. 7 has been configured soas to function as the crosspoint switch 302 as it appears in the view500 of FIG. 5. Thus, the view 800 is an alteration of the view 700 inwhich some reference numerals in the 700 series have been replaced withthe appropriate reference numerals from FIG. 5.

In particular, the crosspoint data port 731 has been relabeled as thecrosspoint data port 316, the crosspoint data port 738 has beenrelabeled as the crosspoint data port 318, the crosspoint data port 737has been relabeled as the crosspoint data port 322, and the crosspointdata port 732 has been relabeled as the crosspoint data port 320.Additionally, the crosspoint control port 704 has been relabeled as thecrosspoint control port 324. Moreover, the connection 711 has beenrelabeled as the external data port 202, which is receiving the inputfeed 116 from the upstream device 102. The connection 712 has beenrelabeled as the external data port 204, via which the output feed 118is being transmitted to the downstream device 106.

The connection 718 has been relabeled as the PLC data port 328, and theconnection 717 has been relabeled as the PLC data port 330. It can alsobe seen that the crosspoint data ports 733-736 have been left as theyare in FIG. 7, and that the connections 713-716 have been removed fromFIG. 8 due to there being no corresponding element from FIG. 5. Finally,and also consistent with FIG. 5, there is a (i) first one-way,one-to-one crosspoint-switch-internal data connection mapped from thecrosspoint data port 316 to the crosspoint data port 318 and (ii) asecond one-way, one-to-one crosspoint-switch-internal data connectionmapped from the crosspoint data port 322 to the crosspoint data port320.

FIG. 9 depicts the example crosspoint switch of FIG. 7, configured withinternally mapped connections consistent with FIG. 6, in accordance withat least one embodiment. In particular, FIG. 9 depicts a view 900 inwhich the example crosspoint switch 702 of FIG. 7 has been configured soas to function as the crosspoint switch 302 as it appears in the view600 of FIG. 6. Thus, the view 900 is an alteration of the view 700 inwhich some reference numerals in the 700 series have been replaced withthe appropriate reference numerals from FIG. 6. Equivalently, the view900 is an alteration of the view 800 of FIG. 8 in which certain elementshave been added.

Indeed, the view 900 of FIG. 9 is a superset of the view 800 of FIG. 8,and thus it is the additional elements that are focused on here. First,it can be seen that the crosspoint data port 733 has been relabeled asthe crosspoint data port 630, the crosspoint data port 734 has beenrelabeled as the crosspoint data port 632, the crosspoint data port 735has been relabeled as the crosspoint data port 634, and the crosspointdata port 736 has been relabeled as the crosspoint data port 636.Moreover, the connection 713 has been relabeled as the external dataport 640, via which the second copy of the output feed 118 istransmitted to the downstream device 650. The connection 714 has beenrelabeled as the external data port 642, via which the first copy of theoutput feed 628 is transmitted to the downstream device 652. Theconnection 715 has been relabeled as the external data port 644, viawhich the second copy of the output feed 628 is transmitted to thedownstream device 654. Lastly, the connection 716 has been relabeled asthe PLC data port 638 from which the crosspoint switch 302 is receivingthe output feed 628 from the PLC 206. Finally, and also consistent withFIG. 6, there is (i) a one-way, one-to-one crosspoint-switch-internaldata connection mapped from the crosspoint data port 316 to thecrosspoint data port 318, (ii) a first one-way, one-to-many (one-to-twoin this case) crosspoint-switch-internal data connection mapped from thecrosspoint data port 322 to both the crosspoint data port 320 and thecrosspoint data port 630, and (iii) a second one-way, one-to-many(one-to-two in this case) crosspoint-switch-internal data connectionmapped from the crosspoint data port 636 to both the crosspoint dataport 632 and the crosspoint data port 634.

FIG. 10 is a flowchart of an example method, in accordance with at leastone embodiment. In particular, FIG. 10 depicts an example method 1000that may be carried out by an MDPD such as the herein-described MDPD104.

At step 1002, the MDPD 104 maintains the management output-feed profile110 in data storage 108. As described above, the management output-feedprofile 110 specifies a ticker-symbol subset 112 and aticker-symbol-based feed-partitioning scheme 114. The ticker-symbolsubset 112 is (a set of) one or more ticker symbols from among aplurality of ticker symbols (e.g., from among the full set of symbolsincluded in the market-data feed from Nasdaq (or available to beincluded in the market-data feed by (e.g., traded on) Nasdaq)).

In at least one embodiment, the MDPD 104 receives revision input withrespect to the management output-feed profile 110, and responsivelygenerates a revised management output-feed profile 110 accordingly, andfurther uses that revised management output-feed profile 110 to updatethe operational output-feed profile 210. This revision input could bereceived via a user interface, such as a CLI and/or a GUI and/or an API,as examples.

At step 1004, the MDPD 104 receives, from the upstream device 102, theinput feed 116 of order-book updates to respective ticker symbols in theplurality of ticker symbols. As stated, the received input feed 116could be an incremental input feed and therefore contain incrementalorder-book updates such as add-order updates, modify-order updates,cancel-order updates, and the like.

At step 1006, the MDPD 104 generates, according to the maintainedoutput-feed profile 110, the customized market-data output feed 118. Inat least one embodiment, the MDPD 104 carries out the step 1006 at leastin part by carrying out the substeps 1008 and 1010, each of which isdescribed in turn below. In at least one embodiment, the output-feedprofile 110 further includes data that specifies a market-data protocol,and step 1006 includes formatting the customized market-data output feed118 according to the specified market-data protocol, which could be astandard market-data protocol known in the industry such as Nasdaq ITCHor BATS PITCH, or could instead be a custom-designed (e.g., proprietary)market-data protocol.

At substep 1008, the MDPD 104 filters the received input feed 116 downto a filtered feed of the order-book updates to respective tickersymbols in the ticker-symbol subset 112. In at least one embodiment,substep 1008 is carried out by the digital-logic segment 212 of theoperational output-feed profile 210. The digital logic segment 212 mayinspect each order-book update in the input feed 116, check whether thecurrent order-book update pertains to a ticker symbol that is in theticker-symbol subset 112, keep those that do, and silently discard thosethat do not. Certainly other filtering approaches could be used.

At substep 1010, the MDPD 104 partitions the filtered feed (that isproduced in substep 1008) according to the ticker-symbol-basedfeed-partitioning scheme 114. In at least one embodiment, substep 1010is carried out by the digital-logic segment 214 of the operationaloutput-feed profile 210. Other approaches could be used as well,including any number of hardware and/or software approaches.

At step 1012, the MDPD 104 transmits the customizedfiltered-and-partitioned market-data feed 118 to the downstream device106. Two different ways that the downstream device 106 could handleprocessing the received output feed 118 are depicted in—and describedbelow in connection with—FIGS. 11 and 12, though many other examplescould be provided as well.

FIG. 11 is a seventh view of the example communication system of FIG. 1,in accordance with at least one embodiment. In particular, FIG. 11 is aview 1100 that depicts the upstream device 102, the input feed 116, theMDPD 104 (with no example internal detail), the output feed 118, and thedownstream device 106. The output feed 118 is depicted with an arbitrarynumber (in this case, 4) of partitions 118A-D. The downstream device 106is depicted as including a kernel bypass card 1102, a TCP/IP stack 1104,a kernel 1106, and a communication link 1108 between the TCP/IP stack1104 and the kernel 1106. Among the benefits of the feed-filteringaspects of the present methods and systems is that a receiving devicesuch as the downstream device 106 need not employ a costly FPGA to carryout such filtering since that filtering has already been donepre-transmission by the MDPD 104.

Among the benefits of the feed-partitioning aspects of the presentsystems and methods is that a receiving device such as the downstreamdevice 106 can direct the packets in each defined partition to differentdestinations without the downstream device 106 having to examine foritself which ticker symbols are being updated by the contents of thevarious packets. In FIG. 11, this takes the form of—or at leastincludes—the packets of the output feed 118 not having to go through theTCP/IP stack 1104 or the kernel 1106 of the downstream device 106.Rather, assuming the use of the below-described approach of partitioningusing IP-multicast addresses, the downstream device 106 can simplydirect the packets in the partition 118A to a process 1108A, thepartition 118B to a process 1108B, the partition 118C to a process1108C, and the partition 118D to a process 1108D. Any one or more ofthose processes 1108A-D could be configured to actually process the dataand/or convey that data to some other process and/or device or devices,as deemed suitable by those of skill in the art for a givenimplementation.

FIG. 12 is an eighth view of the example communication system of FIG. 1,in accordance with at least one embodiment. In particular, FIG. 12depicts a view 1200 that is similar in many ways to the view 1100 ofFIG. 11. In the view 1200, however, the downstream device 1206, insteadof shunting each partition to a respective process that is executing onthe downstream device 106, shunts the partition 118A via a datainterface 1202A to a device 1204A, shunts the partition 118B via a datainterface 1202B to a device 1204B, shunts the partition 118C via a datainterface 1202C to a device 1204C, and shunts the partition 118D via adata interface 1202D to a device 1204D. Any one or more of the devices1204A-D could be a further downstream MDPD, a client device, and/or anyother output-feed-consuming device deemed suitable by those of skill inthe art for a given implementation or in a given context. In at leastone embodiment, downstream device 1206 is a network router.

Returning to the topic of partitioning, the MDPD 104 may carry outsubstep 1010 of the example method 1000 of FIG. 10 in a variety ofdifferent ways. In at least one embodiment, the specifiedticker-symbol-based feed-partitioning scheme 114 includes (i)partition-definition data that defines one or more ticker-symbol-basedpartitions and (ii) partition-channel data that assigns each definedpartition to a respective output-feed channel among a plurality ofmutually exclusive output-feed channels.

In at least one such embodiment, substep 1010 involves generatingcustomized-market-data-output-feed packets that each includes one ormore order-book updates, each of which is an order-book update to aticker symbol within a single one of the defined partitions. In anembodiment, transmitting the customized market-data output feed 118 fromthe MDPD 104 to the downstream device 106 (i.e., step 1012) includestransmitting the generated customized-market-data-output-feed packetsfrom the MDPD 104 to the downstream device 106 in the output-feedchannels to which the defined partitions containing the respectivepackets are assigned by the partition-channel data. In at least oneembodiment, every generated customized-market-data-output-feed packetincludes exactly one order-book update. In at least one embodiment, atleast one of the generated customized-market-data-output-feed packetsincludes more than one order-book update.

It is noted that ticker-symbol subsets and ticker-symbol-basedpartitioning schemes could be defined by suitable data files, viavarious different types of user interfaces, and that specifying subsetsof larger sets of items, as well as further dividing those specifiedsubsets into specified partitions (i.e., further subsets) is within theuser-interface and machine-interface programming skills of those in theart.

In at least one embodiment, at least one of the defined partitionsconsists of a single ticker symbol that is specified in thepartition-definition data. In at least one embodiment, at least one ofthe defined partitions consists of multiple ticker symbols, each ofwhich is specified in the partition-definition data. In at least oneembodiment, the partition-definition data specifies that at least one ofthe defined partitions corresponds with an alphanumeric range of tickersymbols. In at least one embodiment, the partition-definition datadefines at least one partition using at least one wildcard character.

As stated above, the specified ticker-symbol-based feed-partitioningscheme 114 in the output-feed profile 110 may define multipleticker-symbol-based partitions and may also assign each such definedpartition to a respective different output-feed channel. As alsomentioned above, this assignment serves at least the purpose ofconveniently packaging the different ticker-symbol-based partitions intooutput channels that receiving devices (e.g., the downstream device 106)can sort (by partition, naturally) without having to themselves figureout which ticker symbol is updated by every particular order-book updatein the filtered-and-partitioned customized market-data output feed 118.As such, in at least one embodiment, the output-feed channels areselected so as to be sortable by the downstream device according totheir respective defined partitions without symbol-content-levelinspection. In at least one embodiment, the output-feed channels areselected so as to be sortable by the downstream device according totheir respective defined partitions using no higher than network-layer(i.e., layer-3) inspection. In at least one embodiment, the output-feedchannels are selected so as to be sortable by the downstream deviceaccording to their respective defined partitions using no higher thantransport-layer (i.e., layer-4) inspection.

Several different example partitioning mechanisms are discussed below.

As a first example partitioning mechanism, in at least one embodiment,the output-feed channels are defined by respective differentIP-multicast destinations. In at least one embodiment, each suchIP-multicast destination includes an IP-multicast address; in at leastone such embodiment, each IP-multicast destination further includes aport number.

In at least one embodiment, generating thecustomized-market-data-output-feed packets involves addressing thegenerated customized-market-data-output-feed packets to the IP-multicastdestination specified by the partition-channel data; and transmittingthe generated customized-market-data-output-feed packets from the MDPDto the downstream device in the assigned output-feed channels includestransmitting the IP-multicast-destination-addressedcustomized-market-data-output-feed packets from the MDPD to thedownstream device. This choice of partitioning mechanism enables clientdevices to quickly sort the output feed 118 by partition using akernel-bypass card (e.g., the kernel-bypass card 1102) and avoiding themore time-consuming protocol stack (e.g., the TCP/IP stack 1104).

In at least one such embodiment, generating the above-describedcustomized-market-data-output-feed packets involves including, in eachsuch packet, a partition-level sequence number indicating the sequentialposition of that packet among the packets in the customized market-dataoutput feed that are addressed to the particular IP-multicastdestination to which that packet is addressed, and the MDPD 104provides, to the downstream device 106, a gap-fill service that is basedon at least the partition-level sequence numbers.

As a second example partitioning mechanism, in at least one embodiment,the output-feed channels are defined by respective differentnon-overlapping timeslots; and transmitting the generatedcustomized-market-data-output-feed packets from the MDPD to thedownstream device in the assigned output-feed channels involvestransmitting the generated customized-market-data-output-feed packetsfrom the MDPD to the downstream device according to the assignednon-overlapping timeslots.

As a third example partitioning mechanism, in at least one embodiment,the output-feed channels are defined by respective different externaldata ports that interface with respective different physicaltransmission media; and transmitting the generatedcustomized-market-data-output-feed packets from the MDPD to thedownstream device in the assigned output-feed channels involvestransmitting the generated customized-market-data-output-feed packetsfrom the MDPD to the downstream device via the assigned external dataports.

Output Feed Design: Content, Packaging, and Protocol

As described above, in at least one embodiment, the MDPD 104 receivesthe input feed 116 from the upstream device 102, processes the inputfeed 116 as described herein, and outputs multiple customizedmarket-data output feeds (e.g., the output feeds 118 and 628), each(perhaps) representing a different subset of the input-feed-116 data,(perhaps) partitioned differently from one another, and/or (perhaps) indifferent formats (i.e., protocols) (from one another and/or from theformat of the input feed 116). In at least one embodiment, whendesigning a given output feed, a user of the MDPD 104 can makeindependent decisions about at least those three aspects of thefeed—i.e., the content (i.e., the herein-described ticker-symbolsubset), the packaging (i.e., the herein-described partitioning scheme),and the (market-data) protocol. Some example implementation options (andin particular, some example CLI implementation options) for effectingsuch decisions are discussed below, along with some example programmingconstructs that are utilized via the CLI in the described examples.These implementation options and associated programming constructs areprovided by way of example and not limitation.

Content

As discussed herein, in at least one embodiment, the MDPD 104 allows itsuser to restrict any given output feed to a subset of the messages(i.e., the order-book updates) from the associated input feed. Thisrestriction is based on the symbol that a given inbound messageconcerns—i.e., the ticker symbol that is updated by a given order-bookupdate. In at least one embodiment, the MDPD 104 allows its users todefine symbols of interest using a programming construct known herein asa “symbolgroup”.

Symbolgroups

As the name suggests, the symbolgroup is a construct that allows a userof the MDPD 104 to create logical sets of one or more ticker symbols. Asdescribed below in the “Packaging” subsection, in at least oneembodiment, once defined, a symbolgroup can be assigned to one or moreoutput feeds. Indeed, in at least one embodiment, it is that assignmentthat actually (at least partially) defines the content (i.e., theticker-symbol subset) of a given output feed: a symbolgroup could becreated and never assigned to an output feed; moreover, a symbolgroupcould be created and assigned to more than one output feed.

In at least one embodiment, a given output feed can have zero, one, ormore symbolgroups assigned to it. In an embodiment, if an output feedhas at least one symbolgroup assigned to it, the MDPD 104 will restrictoutbound messages on that given output feed to only those messages thatconcern symbols listed in the union of the one or more symbolgroups thathave been assigned to that output feed. In an embodiment, if an outputfeed does not have any symbolgroups assigned, all messages from theassociated input feed will be included in that output feed regardless ofthe symbol concerned.

In the following CLI example and in all ensuing CLI examples in thisdisclosure, the non-bolded characters are those that are presented bythe MDPD 104 on the CLI, whereas the bolded characters are those thatare entered by an example user. Moreover, the leading portion (from theleft) of each line that includes the “>” symbol is a prompt from theMDPD 104 to the user for text entry (where the prompt is made up of allcharacters, starting from the left margin and proceeding to the right,up to and including the “>” symbol), while each line that is shown asbeing indented from the left—and by design do not include an “>”symbol—is a line of example textual output presented on the CLI to theuser by the MDPD 104.

Consider the ensuing example in which a symbolgroup named “es_complex”is created such that it includes exchange-traded funds (ETFs) that havea high correlation to the S&P 500 (ES) futures contract.

>symbolgroup es_complex es_complex>add SPY es_complex>add VOOes_complex>add SSO es_complex>add XLF es_complex>show {SPY, SSO, VOO,XLF} es_complex>del XLF es_complex>show {SPY,SSO,VOO} es_complex>exit >

Tracking through the above example, on the first line, at the most basic(i.e., top-level) prompt (i.e., simply the ‘>’ at the left margin), thetext entry of ‘symbolgroup es_complex’ creates (and enters) thatsymbolgroup if it did not already exist, or instead just enters thatsymbolgroup if it did already exist. Each ensuing prompt other than thelast one reads ‘es_complex>’, indicating that the user is ‘in’ thatsymbolgroup for editing its contents, displaying its contents, and/orthe like. The next four lines each ‘add’ a ticker symbol to what in thisexample was an empty symbolgroup. The first ‘show’ command displays thethen-current contents of the symbolgroup ‘es_complex’. The ‘del’ commandremoves the ensuing symbol ‘XLF’ from the symbolgroup. The second ‘show’command again displays the then-current (i.e., updated) contents of thesymbolgroup, and the ‘exit’ command backs the user out to the top-level‘>’ prompt.

What follows is a second example, showing the creation and defining of asymbolgroup called ‘mygroup’, which is referenced below in the“Packaging” subsection.

>symbolgroup mygroup mygroup>add SPY mygroup>add ABC mygroup>add DEFmygroup>add GHI mygroup>add JKL mygroup>show {SPY,ABC,DEF,GHI,JKL}mygroup>exit >It is noted that the ticker symbol SPY appears in both the symbolgroup‘es_complex’ and the symbolgroup ‘mygroup’. In at least one embodiment,the present systems and methods are agnostic as to whether multiplesymbolgroups overlap with respect to the ticker symbols containedtherein.

What follows is a third example, showing the creation and defining of asymbolgroup called ‘mygroup2’, which is also referenced below in the“Packaging” subsection.

>symbolgroup mygroup2 mygroup2>add MNO mygroup2>add PQR mygroup2>add STUmygroup2>show      {MNO,PQR,STU} mygroup>exit >

What follows is a fourth example, showing the creation and defining of asymbolgroup called ‘mygroup3’, which is also referenced below in the“Packaging” subsection.

>symbolgroup mygroup3 mygroup3>add ABC mygroup3>add MNO mygroup3>add XYZmygroup3>show {ABC,MNO,XYZ} mygroup>exit >

In various different embodiments, users are able to define symbol groupsusing criteria such as first character of symbol name, an alphanumericrange of symbol names, an initial number of characters from severalsymbol names followed by a wildcard character, and/or one or more otherticker-symbol-name character-matching criteria.

Packaging

As mentioned above, in many implementations, a market-data feed is sentas a series of UDP packets; and it is further the case that, in many ofthose implementations, IP-multicast addressing is used. These twochoices together are typically made for reasons of performance: UDP is alow-overhead protocol that allows packets to be routed, while the use ofIP-multicast addressing allows for efficient distribution: if multipleconsumers are interested in the same traffic, only one copy need besent.

In a typical implementation, a UDP multicast message specifies itssender (as an IP address), its receiver (as an IP address in themulticast range—also known as a multicast address), and a ‘port’ (anumeric value often used, perhaps among other purposes, simply todisambiguate different types of data). The multicast address and portmay be used by a downstream consumer to effect interest in receivingcertain data. The sender, multicast address, and port can all be used bygeneral-purpose routers to make routing decisions. This metadata (IPaddresses and port) is what is meant in some embodiments by “packaging”.In at least one embodiment, the MDPD 104 facilitates its users makingpackaging decisions about output feeds using a construct referred toherein as a “feedpackage”.

Feedpackages

In at least one embodiment, feedpackages describe particular packagingschemes. Once defined, a feedpackage can be assigned to one or moreoutput feeds. The output feed will then use the packaging as describedby the assigned feedpackage. In at least one embodiment, the reason thata feedpackage can be assigned to multiple output feeds is that thesedifferent output feeds are sent along different physical links, so thereis no ambiguity caused by the reuse of the same IP address and portsacross multiple output feeds.

Building on the discussion above in the “Content” subsection, the readerwill recall that, in the described embodiments, simply creating asymbolgroup does not shape the ticker-symbol subset for a given outputfeed; rather, in an embodiment, in order to at least partially definethe ticker-symbol subset of a given output feed, a user would create asymbolgroup and then, as described below: create a feedpackage, assignthe created symbolgroup to the created feedpackage, create an outputfeed, and assign the created feedpackage to the created output feed. Asis more fully described below, in some embodiments, a user can alsoassign an individual symbol to a created feedpackage (i.e., withoutfirst going through the formality of creating a one-symbol symbolgroup,although that is an option as well).

First, some example CLI implementations for creating a feedpackagecalled “mc1”:

>feedpackage mc1 mc1>auto-base 224.0.130.128/30001 mc1>auto-incr port 1mc1>add auto symbolgroup es_complex mc1>exit >The above example assumes that there had been no prior creation of afeedpackage called “mc1”. In the above example, then, the first command,‘feedpackage mc1’, creates that feedpackage and places the user “in”that feedpackage for editing and the like with the prompt ‘mc1>’.

The next line, ‘auto-base 224.0.130.128130001’, sets two parameters forthis feedpackage. First, it sets the IP-multicast address‘224.0.130.128’ as being what is referred to herein as the“automatic-assignment base address” for this feedpackage, and thus asthe automatic-assignment base address for the partitioning of any outputfeed to which this feedpackage is assigned. Second, it sets ‘30001’ asbeing what is referred to herein as the “automatic-assignment base port”for this feedpackage (and similarly as the automatic-assignment baseport for the partitioning of any output feed to which this feedpackageis assigned).

The next line, ‘auto-incr port 1’, sets for this feedpackage a parameterthat is referred to herein as the “automatic-assignment incrementingscheme”. Together with the prior command, the effect of this command inat least one embodiment is that the first symbol or symbolgroup forwhich a user requests an automatic (or auto, for short) assignment of amulticast-IP-address-and-port combination will be assigned224.0.130.128:30001. And because the automatic-assignment incrementingscheme for the created feedpackage in this example is to increment theport number by 1, the second symbol or symbolgroup for which a userrequests an auto assignment of a multicast-IP-address-and-portcombination will be assigned 224.0.130.128:30002. The third will beassigned 224.0.130.128:30003, and so forth. Moreover, an increment valuegreater than 1 can be specified.

In at least one embodiment, a user may enter an ‘auto-incr . . . ’command that specifies an automatic-assignment incrementing scheme toone or more of the port number and any one or more of the portions ofthe IP-multicast address. As is known in the art, an IPv4 address ismade up of four integers, each in the range of 0-255, inclusive,delineated by three periods (or “dots” as they are typically called inthe art). The above IP-multicast address (i.e., 224.0.130.128) is anexample of just such an address. In the art, starting from the left andproceeding right, the integers are respectively known as the “A”, “B”,“C”, and “D” portions of the address. Sometimes the lower-case letters“a”, “b”, “c”, and “d” are used instead.

Thus, in at least one embodiment, a user may enter an ‘auto-incr . . . ’command that specifies an automatic-assignment increment to one or moreof (i) the “A” portion of the IP-multicast address, (ii) the “B” portionof the IP-multicast address, (iii) the “C” portion of the IP-multicastaddress, (iv) the “D” portion of the IP-multicast address, and (v) theport number. Indeed, the command line example above that reads:

mc1>auto-incr port 1

can be thought of as specifying that the automatic-assignmentincrementing scheme for this feedpackage is (i) an increment equal to 0for each portion of the IP-multicast address and (ii) an increment equalto 1 for the port number. In some cases this could be made explicitusing the following syntax:

mc1>auto-incr ip-a 0 ip-b 0 ip-c 0 ip-d 0 port 1

Some implementations interpret the absence on a given command line ofany one or more of these incrementable values as specifying a defaultincrement (e.g., 0) for those one or more absent incrementable values.Moreover, some implementations interpret ‘ip’ (i.e., without an ensuingletter-portion qualifier) as ‘ip-d’. And though the above example showsfour increments having a value of 0 and one increment having a value of1, each such value that is specified to be part of theautomatic-assignment incrementing scheme for a given feedpackage can bespecified to increment (with each successive assignment of anIP-multicast-address-and-port combination to a given symbol orsymbolgroup) by any amount (i.e., 1 or more) deemed suitable by one ofskill in the art for a given implementation.

In at least one embodiment, if a given increment causes an overflow in acertain place value, that condition is handled by carrying thatincrement into the next place value; for example, if it is specified byan ‘auto-incr . . . ’ command that the address 224.0.130.128 should beincremented by 128 in the “D” portion of the address, this would bereflected as an incremented value of 224.0.131.001, as the upper limitof 255 for the “D” portion would have been exceeded by 1. And certainlynumerous other examples and manners of handling such conditions could bepresented here.

Returning to the above example, the fourth line, ‘add auto symbolgroupes_complex’, adds the earlier-created symbolgroup ‘es_complex’ to thefeedpackage ‘mc1’ and requests-using the ‘auto’ portion of the commandline, an automatic assignment of an IP-multicast-address-and-portcombination to the symbolgroup ‘es_complex’. In this example, thisrequested automatic assignment will be carried out based on theearlier-specified (i) automatic-assignment base address of224.0.130.128, (ii) automatic-assignment base port of 30001, and (iii)automatic-assignment incrementing scheme of incrementing the port numberby 1 with each successive assignment (after the first)).

Because this is the first requested automatic assignment for thefeedpackage ‘mc1’, the automatic-assignment incrementing scheme does notyet come into play, and the symbolgroup ‘es_complex’ is accordinglyassigned theautomatic-assignment-base-address:automatic-assignment-base-portcombination of 224.0.130.128:30001. Thus, pending further modificationsto the feedpackage ‘mc1’ of course, ‘mc1’ is currently configured toinclude all order-book updates to the ticker symbols in the set‘{SPY,SSO,VOO}’ in a partition addressed to 224.0.130.128:30001. Assuch, a recipient of an output feed to which ‘mc1’ has been assignedcould confidently shunt any packets in the output feed that areaddressed to that address:port combination to a process, device, or thelike that is expecting only order-book updates to those particularticker symbols.

The fifth and final command line on which an example command is shown ashaving been entered in the above example contains simply the command‘exit’. This causes the CLI to return to presenting the top-level prompt(i.e., ‘>’). Below is a further CLI example in which a hypothetical userreenters the now-existing feedpackage ‘mc1’ (by way of the first line),makes some edits to that feedpackage, and thereafter exits back out tothe top-level prompt (by way of the ‘exit’ line). The further CLIexample below also illustrates some additional types of feedpackagemodifications that are available in at least some embodiments.

>feedpackage mc1 mc1>add auto symbolgroup mygroup mc1>add autosymbolgroup mygroup2 flatten mc1>add manual 224.1.100.100/20000symbolgroup mygroup3 mc1>add manual 224.1.100.100/20020 symbol SPYmc1>exit >

The second line (‘add auto symbolgroup mygroup’) requests in anautomatic address:port combination to the above-defined symbolgroup‘mygroup’, and would result in the assignment of 224.0.130.128:30002 to‘mygroup’ since this is the second requested assignment, the first was224.0.130.128:30001, and the automatic-assignment incrementing schemespecifies a port-number increment of 1.

The third line (‘add auto symbolgroup mygroup2 flatten’) introduces anew command—i.e., the ‘flatten’ command. In at least one embodiment, theinclusion of this command results in an automatic address:portassignment (according to the above-specified parameters) to eachindividual symbol in the named symbolgroup (here, ‘mygroup2’) ratherthan to the symbolgroup as a whole. Thus, the ‘flatten’ command createsa partition for each such individual symbol in the named symbolgroup‘mygroup2’, which the reader will recall is defined above as being theticker-symbol set {MNO,PQR,STU}. In this example, the result would be(i) the assignment of 224.0.130.128:30003 to the symbol MNO, (ii) theassignment of 224.0.130.128:30004 to the symbol PQR, and (iii) theassignment of 224.0.130.128:30005 to the symbol STU.

The fourth line (‘add manual 224.1.100.100120000 symbolgroup mygroup3’)introduces the ‘manual’ command, which in at least one embodiment isavailable for effecting a manual assignment of a address:portcombination that is explicitly specified in that same command line toeither a symbolgroup or a symbol that is also explicitly specified inthat same command line. Thus, the fourth line would have the effect ofmanually assigning 224.1.100.100:20000 to the symbolgroup ‘mygroup3’.Similarly, the fifth line (‘add manual 224.1.100.100120020 symbol SPY’)would have the effect of manually assigning 224.1.100.100:20020 to theindividual symbol SPY.

Moreover, in various different embodiments, users are able to specifywhat happens in output feeds to which a given feedpackage has beenassigned with respect to order-book updates to symbols that do not matchany of the manual or automatic address:port assignments that have beenmade as part of defining the given feedpackage. These non-matchingsymbols could be denoted using a wildcard symbol such as the ‘*’. Insome embodiments, an automatic or manual assignment of an address:portpair to ‘*’ results in order-book updates to all non-matching symbolsbeing placed on that particular address:port pair. In some embodiments,not making an assignment of ‘*’ to an address:port pair results inorder-book updates to all non-matching symbols being silently discarded(i.e., not included in the given output feed). And certainly otherexample implementations could be listed here as well.

With the benefit of the above descriptions of symbolgroups andfeedpackages, this disclosure now revisits the above-made statementsthat, in at least one embodiment, (i) an output-feed profile includes aticker-symbol subset and a ticker-symbol-based feed-partitioning schemeand (ii) a ticker-symbol-based feed-partitioning scheme includes (a)partition-definition data that defines one or more ticker-symbol basedpartitions and (b) partition-channel data that assigns each such definedpartition to a respective output-feed channel among a plurality ofmutually exclusive output-feed channels. In embodiments that make use ofthe symbolgroup and feedpackage constructs as described herein, andconsidering an example in which a given feedpackage has been assigned toa given output feed, the ticker-symbol subset in the output-feed profilefor that given output feed would be the set union of all symbols andsymbolgroups (perhaps including a ‘*’ symbolgroup) that have beenassigned an address:port combination in the given feedpackage. Withrespect to the ticker-symbol-based feed-partitioning scheme in theoutput-feed profile for that given output feed, the partition-definitiondata would include an itemized list of each individual symbol orsymbolgroup that received its own assignment of an address:portcombination, and the partition-channel data would include both anitemized list of each address:port combination that was so assigned,along with data that associates each such assigned address:portcombination with its corresponding symbol or symbolgroup in thepartition-definition data. And certainly other example embodiments couldbe listed here as well.

Protocol

While market data feeds published by trading venues all have similarsemantics, different trading venues typically publish messages usingsyntax unique to that venue. In technical terms, such syntax is known asa protocol.

For any given output feed, the MDPD 104 enables its users to specify theprotocol that the feed should be delivered in. This protocol could bethe same of the associated input feed, or it can be different. Ifdifferent, the MDPD 104 is effectively ‘translating’ the feed—forexample, taking a feed in BATS PITCH and republishing the sameinformation as Nasdaq ITCH. In various different embodiments, the MDPD104 supports one, some, or all of the following protocols for outboundfeeds:

-   -   Nasdaq TotalView ITCH 5.018    -   BATS PITCH 2.220.419    -   NYSE XDP Integrated Feed 1.13b20    -   CME MDP 3.021; and    -   one or more proprietary incremental-feed protocols.

Exchange Emulation: Further Description and Examples

It is the provision by the MDPD 104 of downstream gap-fill and/orlate-join services, as well as the supporting functions that the MDPD104 carries out in order to be able to provide such services, that isthe focus of FIGS. 13-18D and their accompanying descriptions.

FIG. 13 is a flowchart of an example method, in accordance with at leastone embodiment. In particular, FIG. 13 depicts an example method 1300that may be carried out by an MDPD such as the herein-described MDPD104.

At step 1302, the MDPD 104 maintains the output-feed profile 210, whichspecifies a ticker-symbol subset 212 from among a plurality of tickersymbols. The plurality of ticker symbols could be the full set ofsymbols in the market-data feed offered by Nasdaq or some otherexchange, as examples. The MDPD 104 may carry out step 1302substantially as described above with respect to step 1002 of the method1000, though it is noted that step 1302 does not specify whether themaintained output-feed profile 210 includes a partitioning scheme; insome embodiments it does, in others it does not.

In at least one embodiment, the ticker-symbol subset 212 includes all ofthe ticker symbols in the plurality of ticker symbols. In at least oneembodiment, the ticker-symbol subset 210 does not include all of theticker symbols in the plurality of ticker symbols.

In at least one embodiment, the MDPD 104 includes the PLC 206, and step1302 involves the PLC 206 maintaining the output-feed profile 210 as theoperational copy of the output-feed profile 110; in at least one suchembodiment, the MDPD 104 also includes the host data storage 108, andstep 1302 also involves the MDPD 104 maintaining the management copy 110of the output-feed profile in the host data storage 108.

At step 1304, the MDPD 104 receives, from the upstream device 102, theinput feed 116. The MDPD 104 may carry out step 1304 substantially asdescribed above with respect to step 1004 of the method 1000. As stated,the received input feed 116 could be an incremental input feed andtherefore contain incremental order-book updates such as add-orderupdates, modify-order updates, cancel-order updates, and the like.

At step 1306, the MDPD 104 generates the output feed 118 from thereceived input feed 116. In this described embodiment, the MDPD 104carries out step 1306 at least in part by carrying out thebelow-described substeps 1308 and 1310. In at least one embodiment, theMDPD 104 includes the PLC 206 configured to carry out step 1306.

At substep 1308, the MDPD 104 filters the received input feed 116 downto a filtered feed of the order-book updates to the respective tickersymbols in the ticker-symbol subset 212. The MDPD 104 may carry outsubstep 1308 substantially as described above with respect to substep1008 of step 1006 of the method 1000.

At substep 1310, the MDPD 104 generates market-data-output-feed messagesthat respectively convey the order-book updates in the filtered feedthat the MDPD 104 generated at substep 1308. After introducing steps1312, 1314, and 1316 below, this description returns to substep 1310 toprovide detail pertaining to that substep in various differentembodiments.

At step 1312, the MDPD 104 transmits the generated market-data outputfeed 118 to the downstream device 106 at least in part by transmittingthe market-data-output-feed messages—that the MDPD 104 generated atsubstep 1310—to the downstream device 106. The MDPD 104 may carry outstep 1312 substantially as described above with respect to step 1012 ofthe method 1000. As described herein, the output feed 118 could be anincremental feed, and be formatted in any suitable market-data protocol,independent of the market-data protocol in which the input feed 116 isformatted.

At step 1314, the MDPD 104 stores cached copies of at least theorder-book updates from the input feed 116 that respectively correspondwith market-data-output-feed messages in the generated market-dataoutput feed 118. A partial view of an example architecture of the MDPD104 that facilitates the MDPD 104 carrying out step 1314 in at least oneembodiment is depicted by way of example in FIG. 14. In particular, FIG.14 depicts a partial view 1400 of the MDPD 104. The partial view 1400includes the circuit board 402 communicatively connected to the host 304by the data interface 348, the PCI express bus 346, and the datainterface 350. A highly simplified view of the host 304 is depicted inFIG. 14, not to imply that the other components that appear in otherfigures are not present in this embodiment, only to simplify thepresentation of FIG. 14 to allow for more detailed description ofcertain aspects of the circuit board 402 (and in particular the PLC 206)in certain embodiments.

In the partial view 1400, the PLC 206 still receives the input feed 116via PLC data port 328 from the crosspoint data port 318 of thecrosspoint switch 302. In the embodiment that is depicted in FIG. 14,the PLC 206 includes 32 operational “digital-logic assembly lines”1401-1432, each of which implements in digital logic a (potentially)different operational copy of an output-feed profile. In someembodiments, including the embodiment that is depicted in FIG. 14, allbut one (i.e., the first 31 and not the 32nd) of the digital-logicassembly lines 1401-1432 are available to implement (potentially)different output-feed profiles, thus making the MDPD 104 capable ofsending out one or more copies of each of 31 different output feeds, allbased on a single input feed 116 (or multiple different input feeds insome embodiments). And clearly all of these numbers are examples, as anysuitable number of each component could be implemented in variousdifferent embodiments.

In the depicted embodiment, the digital-logic assembly line 1401 and thedigital-logic assembly line 1402 implement the operational output-feedprofile 210 and the operational output-feed profile 620, respectively,that are mentioned above. For space concerns in FIG. 14, thedigital-logic assembly lines 1403-1431 are depicted only having thewidth of a single line, but it is to be understood that each of thesecould be configured to implement its own respective operationaloutput-feed profile as well. It can further be seen that, as is the casein prior figures, the PLC 206 transmits the output feed 118 from the PLCdata port 330 to the crosspoint data port 322, and the PLC 206 alsotransmits the output feed 628 from the PLC data port 638 to thecrosspoint data port 636. Moreover, the digital-logic assembly lines areshown as having their respective output feeds (if configured to beoperable) transmitted via respective (though not individually numberedin FIG. 14) PLC data ports of the PLC 206 to respective (though notindividually numbered in FIG. 14) crosspoint data ports of thecrosspoint switch 302 via respective (though not individually numberedin FIG. 14) data connections 1440.

Moreover, the digital-logic assembly line 1432 is depicted in FIG. 14 ashaving its output transmitted to the host 304 via a data connection1450, the data interface 348, the PCI express bus 346, and the datainterface 350. It can further be seen that, in the embodiment that isdepicted in FIG. 14, the PLC 206 delivers a copy of the input feed 116to the start of each respective digital-logic assembly line 1401-1432.With its respective copy of the input feed 116, the digital-logicassembly line 1432 may simply pass every tick (i.e., order-book update)in the input feed 116 to the host 304, or the digital-logic assemblyline 1432 may be configured so as to pass a subset of the input feed 116to the host 304, where that subset could be the set union of all of theticker symbols that are part of the respective ticker-symbol subsetsbeing implemented by the digital-logic assembly lines 1401-1431. In theexample that is described herein, the digital-logic assembly line 1432passes a copy of every order-book update in the input feed 116 to thehost 304, but this is by way of example. That copy is referred to hereinat times as being an archival copy of the input feed 116.

In at least one embodiment, the host 304 stores some number of the mostrecent order-book updates from the input feed 116, to enable the host304 to respond to gap-fill requests from various downstream devices. Inat least one embodiment, the host 304 maintains current local (i.e.,stored on the MDPD 104) lists of active orders, one list for each of atleast the symbols that appear in at least one ticker-symbol subset of atleast one output feed that is being implemented by a digital-logicassembly line 1401-1431. In at least one embodiment, the host 304maintains a current local list of active orders for every ticker symbolin the input feed 116, to better serve late-join requests—which mayoccur when, e.g., ticker symbols are added to output feeds during agiven trading period (e.g., day), or when a downstream device subscribeslate to an incremental output feed and needs to catch up.

In some embodiments, one or both of step 1312 of FIG. 13 and step 1012of FIG. 10 involves transmitting multiple (e.g., two) instances of eachorder-book update in the output feed 118 to the downstream device 106. Afirst instance of the output feed 118 may be transmitted at the time itis generated, as disclosed herein. A second instance of the output feed118, which may be referred to as a time-delayed output feed 118, istransmitted after a time delay via the same communication path as thefirst instance of the output feed 118.

For example, in the view 1400 of FIG. 14, the digital-logic assemblyline 1401 may be configured to generate both the output feed 118 and atime-delayed duplicate instance of the output feed 118. Both instancesof the output feed 118 are provided to the crosspoint data port 322, forforwarding to the downstream device 106. The digital-logic assembly line1401 may be configured to generate the time-delayed output feed 118 witha predetermined time delay on an update-by-update basis. In someembodiments, a time delay on the order of 50 μs is used for thetime-delayed output feed 118, although other time delays may certainlybe used. Thus, the digital-logic assembly line 1401 may transmit a firstinstance of a given order-book update having a sequence number such as12345, and then transmit a second copy of order-book update #12345 50 μslater (or whatever the selected time delay may be). Such would also bethe case with order-book update #12346, #12347, and so forth.

In at least one embodiment, the downstream device 106 is correspondinglyconfigured to receive both instances of the output feed 118 (i.e., theoriginal instance and the time-delayed second instance). The downstreamdevice 106 may maintain current local lists of active orders associatedwith the output feed 118's updates. In the event that the first instanceof a given update is not received by the downstream device 106, thecurrent local list of active orders may be updated when the time-delayedinstance of that given update is received. Thus, a gap-fill request fromthe downstream device 106 and a subsequent gap-fill response from theMDPD 104 may be avoided in the event that the first instance of thegiven update is not successfully received but the time-delayed instanceof the given update is successfully received. In the event that a firstinstance of a given update is successfully received by the downstreamdevice 106, the downstream device 106 may simply discard thetime-delayed copy of that given update (in the event the time-delayedcopy is itself successfully received, of course; if it isn't, no harmdone and nothing to discard). Variations of ways in which a device suchas the downstream device 106 could handle the receipt of multiple copiesof various updates at different times are further described below in thesection that relates to arbitration among multiple market-data feeds.

In some embodiments, the output-feed transmission step 1012 includestransmitting an output feed that includes both incremental order-bookupdates and periodic “snapshots”; such a snapshot which, for purposes ofthis disclosure includes a list of current active orders, the list ofcurrent active orders can also be referred to as “order books”. In suchembodiments, the incremental order-book updates are transmitted as apart of the output feed 118 as disclosed herein, with each incrementaloutput-feed update being associated with a corresponding update from theinput feed 116. Additionally, perhaps on a periodic basis, or perhapsbased on some other trigger or condition such as available bandwidth,the MDPD 104 transmits one or more snapshots, each indicating thecurrent list of active orders, which can also be referred to as “orderbooks”, being maintained by the MDPD 104 in connection with a particularticker symbol.

As described herein, the host side of a given MDPD such as the MDPD 104may maintain such lists of active orders, and may thus be the MDPDentity responsible for transmitting periodic and/or occasional snapshotsto supplement an incremental feed being sent by the PLC side of the sameMDPD 104. The MDPD host may send such snapshots via the PLC 206 and thusthe same communication path traversed by the output feed 118, or mayinstead send the snapshots via a different communication path, such asthe communication paths described herein for use in sending gap-fill andlate-join responses. The transmission of these unsolicited snapshots mayadvantageously obviate the need for the downstream device 106 to sendone or more gap-fill requests and/or one or more late-join requests.Other possible trigger conditions for sending these supplementalsnapshots are the frequency and/or raw number of incremental messages inthe input feed 116 (and correspondingly in the output feed 118) overalland/or for a given ticker symbol, among many other possible examplesthat could be listed here.

FIG. 15A and FIG. 15B respectively depict the first and second of twoparts of an example of active order list maintenance based on an exampleinput feed, in accordance with at least one embodiment. In particular,FIGS. 15A and 15B respectively present views 1500 and 1550 thatcollectively demonstrate an example in which the MDPD 104 receives anorder-book update 1502 at a time t=1, an order-book update 1504 at t=2,an order-book update 1506 at t=3, and an order-book update 1508 at t=4.The views 1500 and 1550 also collectively show an active order liststate 1522 at t=2 (after applying the order-book update 1502 at 1512),an active order list state 1524 at t=3 (after applying the order-bookupdate 1504 at 1514), an active order list state 1526 at t=4 (afterapplying the order-book update 1506 at 1516), and an active order liststate 1528 at t=5 (after applying the order-book update 1508 at 1518).The staggered nature of, e.g., receiving an order-book update at t=1 andhaving the updated active order list state reflect that update at t=2(at the same time that the order-book update 1504 is received) is purelyan illustrative example and not meant to be limiting in any way. Theseexamples could be presented with no example times (just sequences); theycould be presented with order-book updates being received and reflectedin the same “time period” as far as the figures are concerned; andnumerous other options are possible as well.

The order-book update 1502 is received att=1, has an exchange (e.g.,Nasdaq) sequence number of 1, is of type ADD-ORDER (among the possibleADD-ORDER, MODIFY-ORDER, and CANCEL-ORDER in this example of anincremental feed), pertains to (example) ticker symbol XYZ, conveys anorder number of 1, the order direction is BUY (among the possible BUYand SELL in this example), the order quantity is 30, and the order priceis 5 (dollars in this example). Accordingly, the list of active orders(for ticker symbol XYZ) is shown at t=2 with an initial state 1522 ofhaving just a single order to buy 30 shares of XYZ for $5 per share.

Also at t=2, the order-book update 1504 is received, having an exchangesequence number of 2, type ADD-ORDER, symbol XYZ, order number 2, orderdirection SELL, order quantity 200, and order price $8. This order hasbeen added to the active order list as shown at t=3 in active order liststate 1524. Also at t=3, the order-book update 1506 is received, havingan exchange sequence number of 3, type MODIFY-ORDER, symbol XYZ, ordernumber 1, order direction BUY, order quantity 30, and order price $7.The effect of this MODIFY-ORDER update is to modify the order price ofpreviously-added order number 1 from $5 to $7 (the direction on theMODIFY-ORDER update remaining the same i.e. BUY, and the quantityremaining the same i.e. 30). The active order list state 1526 at t=4reflects the application of this order-book update 1506.

Also at t=4, the order-book update 1508 is received, having an exchangesequence number of 4, type CANCEL-ORDER, symbol XYZ and order number 2.Being an ORDER-CANCEL update, no direction, quantity or price isnecessary and neither are they provided. The effect of this CANCEL-ORDERupdate is to remove order number 2 from the list of active orders. Thisupdate is reflected at t=5 in the active order list state 1528. Anyfurther additions of other orders, modifications of existing orders,and/or cancellations of existing orders would be reflected in furthermodifications to the state of the locally maintained list of activeorders for ticker symbol XYZ. In at least one embodiment, the MDPD 104maintains such a list of active orders for every ticker symbol in theinput feed 116.

At step 1316, the MDPD 104 provides, to the downstream device 106, agap-fill service for the generated market-data output feed 118 using thecached order-book-update copies. In at least one embodiment, step 1316involves the MDPD 104 transmitting one or more gap-fill responses to thedownstream device 106 via the NIC 340.

In at least one embodiment, in substep 1310, the MDPD 104 includes, ineach output-feed message, a feed-level sequence number indicating thesequential position of that message among all of the messages in thegenerated market-data output feed. Such an example is described below inconnection with FIGS. 16A-C.

FIG. 16A depicts a first example input feed, in accordance with at leastone embodiment. In particular, FIG. 16A depicts a first view 1612 of anexample input feed 1610. In some embodiments, the input feed order-bookupdates are sequentially numbered. The input feed 1610 includes nineupdates for the following ticker symbols: updates 1 and 7 are for tickersymbol ABC, updates 2 and 9 for GHI, update 3 for DEF, update 4 for JKL,update 5 for MNO, update 6 for STU, and update 8 for PQR. Here, a singleorder-book update is included in each message, or packet, of the inputfeed. The messages are numbered sequentially.

Each update in the input feed 1610 represents an update to an activeorder list for the respective symbol, which may for example beadd-order, modify-order, or cancelorder updates. The details of theupdates are not depicted in the view 1612 of the input feed. Each of theupdates may be transmitted in its own packet with its own sequencenumber. By way of example, the updates may be formatted similar to theorder-book updates depicted at 1502-1508 of FIGS. 15A and 15B. Asdepicted in the view 1612, each update to each ticker symbol has its ownsequence number, with the first update being numbered ‘1’ for the tickersymbol ‘ABC’, and the last update in the input feed 1610 being numbered‘9’ for the ticker symbol ‘GHI’.

FIG. 16B depicts a second example input feed, in accordance with atleast one embodiment. In particular, FIG. 16B depicts a second view 1614of the input feed 1610. The second view 1614 comprises the sameinformation as the input feed 1610 of the view 1612, other than the factthat multiple updates are included into each packet received from theupstream device. In such an embodiment, only the sequence number of thefirst update is included in each packet. As shown in the second view1614 of the input feed 1610, the first update packet includes updatesfor ticker symbols ‘ABC’, ‘GHI’, and ‘DEF’. The sequence number for the‘ABC’ update is ‘1’, and the sequence number for the ‘GHI’ update isimplicitly ‘2’, and the sequence number for the ‘DEF’ update isimplicitly ‘3’.

The second update packet includes updates for the ticker symbols ‘JKL’and ‘MNO’. The sequence number for the message including updates for‘JKL’ and ‘MNO’ is ‘4’, and it is implied that the sequence number forthe first update in the message (here, for ‘JKL’) is ‘4’ because it isthe first update in the message and the sequence number for the secondupdate in the message (here, for ‘MNO’) is ‘5’. The sequence numberscontinue for remaining packets in the input feed.

In some embodiments, the views of the input feed 1610 represent aportion of the input feed 116. As disclosed herein, each of the updatesof the input feed 1610 may be incremental order-book updates (e.g.,add-order, modify-order, cancel-order). Further, the input feed 1610 maybe in any of many different protocols. Some standard market-dataprotocols known in the industry are Nasdaq ITCH and BATS PITCH. In someembodiments, the protocol is a custom-designed (e.g., proprietary)market-data protocol.

FIG. 16C depicts a first example output feed, in accordance with atleast one embodiment. In particular, FIG. 16C depicts a view 1622 of anoutput feed 1620. In some embodiments, the output feed 1620 represents aportion of the output feed 118. In one embodiment, the system depictedin the view 200 of FIG. 2 is used to generate a customized output feed(such as the output feed 1620) from an input feed (such as the inputfeed 1610). In such an embodiment, the input feed 116 is represented bythe input feed 1610 of FIG. 16A or 16B. Further, the output feed 118 isrepresented by the output feed 1620 of FIG. 16C. The output feed 118 isgenerated at least in part by filtering the received input feed 116 downto a filtered feed of the order-book updates to respective tickersymbols in a ticker-symbol subset. In an example, an output-feed profile(such as the output-feed profile 210) includes the ticker symbols ‘ABC’and ‘MNO’ as ticker symbols to be included in a customized market-dataoutput feed. Thus, the output feed 118 is filtered down to include onlyupdates to ticker symbols ‘ABC’ and ‘MNO’. Certainly other examplescould be listed as well.

Thus, in the output feed 1620, the update “1 ABC” corresponds to theupdate “1 ABC” of the input feed 1610, the update “2 MNO” corresponds tothe update “5 MNO” of the input feed 1610, and the update “3 ABC”corresponds to the update “7 ABC” from the input feed 1610. Similar tothe input feed 1610, the updates in the output feed 1620 may beincremental updates. Also, just as the second view 1614 of the inputfeed 1610 includes multiple updates in a single packet, the output feed1620 may also be transmitted as a single packet, with one explicitsequence number, and two implied sequence numbers, (e.g., “1 ABC MNOABC”). In the view 1622 of the output feed 1620, the sequencenumbers—either implicit or explicit—indicate the sequence of the updateswithin the overall output feed (i.e., they are feed-level sequencenumbers).

In some embodiments, the sequence numbers of the output feed indicatethe sequential order of the messages in each output feed. Thus, a secondoutput feed comprising a different subset of ticker symbols (e.g., ‘ABC’and ‘PQR’) than the output feed 1620 would have different output-feedsequence numbers. By way of example, an output feed based on filteringthe input feed 1610 to the ticker symbols ‘ABC’ and ‘PQR’ would berepresented by an output feed with the following updates: ‘1 ABC, 2 ABC,3 PQR’. In this example, the ‘1 ABC’ correlates to the ‘1 ABC’ update ofthe input feed 1610, the ‘2 ABC’ correlates to the ‘7 ABC’ of the inputfeed 1610, and the ‘3 PQR’ correlates to the ‘8 PQR’ of the input feed1610. And certainly other examples could be listed as well.

In at least one embodiment, generating the market-data-output-feedmessages in substep 1310 includes including, in each such message, aticker-symbol-level (or just symbol-level, for short) sequence numberindicating the sequential position of the corresponding order-bookupdate among the order-book updates to the corresponding ticker symbolin the received input feed. Such an example is shown in FIG. 16D, whichdepicts a second example output feed comprising both feed-level andsymbol-level sequence numbers, in accordance with at least oneembodiment. In particular, FIG. 16D depicts a view 1626 of an exampleoutput feed 1624 that includes updates to the ticker symbols ‘ABC’ and‘MNO’ and is similar to the view 1622 of the output feed 1620. However,each update in the view 1626 of the output feed 1624 includes twosequence numbers. A first sequence number (i.e., the feed-level sequencenumber) is used to identify the sequential position of an update amongthe other updates in the output feed. A second sequence number (i.e.,the symbol-level sequence number) is used to identify the sequentialposition of the corresponding order-book update among the order-bookupdates to the corresponding ticker symbol in the received input feed.

In the view 1626 of the output feed 1624, the first update is indicatedas ‘1 ABC 1’, with the first ‘1’ indicating the feed-level sequencenumber, that this is the first message in the output feed 1624. The‘ABC’ indicates the message is for ticker symbol ‘ABC’, and the second‘1’ is a symbol-level sequence number indicating this is the firstupdate for the ticker symbol ‘ABC’ in the received input feed. Thesecond message in the output feed 1624 is the first update message forthe ticker symbol ‘MNO’, as indicated by ‘2 MNO 1’. The ‘2’ indicates itis the second message in the output feed overall, one numberincrementally higher than the first ‘1’ of ‘1 ABC 1’. The ‘MNO’indicates the update is for ticker symbol ‘MNO’, and the ‘1’ indicatesit is the first message for the ticker symbol ‘MNO’ in the receivedinput feed. Finally, the third overall message in the output feed is thesecond update for the ticker symbol ‘ABC’, as indicated by ‘3 ABC 2’.Similar to the previous two examples, the ‘3’ indicates it is the thirdoverall message in the output feed 1324, the ‘ABC’ indicates the updateis for ticker symbol ‘ABC’ and the ‘2’ indicates it is the second updatefor the ticker symbol ‘ABC’ in the received input feed.

In some embodiments, a downstream device (such as a client device or adaisy-chained MDPD) receives the sequentially numbered messages of theoutput feed. The downstream device may detect a dropped message in theoutput feed by detecting a gap in the sequence numbers, which may eitherbe a gap in the feed-level sequence numbers or the symbol-level sequencenumbers. In embodiments where the output feed is an incremental outputfeed, if a message is dropped, the downstream device would not be ableto determine an accurate order book for one or any of the ticker symbolsuntil requesting and receiving the one or more missed updates using agap-fill service, or perhaps receiving a reset to the “state of theworld” in a late-join response or periodic snapshot; both comprising acurrent list of active orders.

For example, in an embodiment where an MDPD transmits the output feed1620 of FIG. 16C, the downstream device may (in an example situation)only receive the messages ‘1 ABC’ and ‘3 ABC’, meaning the message ‘2MNO’ was dropped before being received by the downstream device. Thus,the downstream device would be unable to determine an up-to-date oraccurate order book of any ticker symbol because it is not known whichticker symbol the second message updated. Thus, the downstream device isunable to apply the update message of ‘3 ABC’ to the ABC order bookwithout first receiving the message with a sequence number of ‘2’because the message with sequence number 2 could have applied to theticker symbol ‘ABC’. In such an embodiment, the downstream device may(buffer further received messages and) request (using a gap-fillrequest) that the MDPD retransmit the message with the sequence number‘2’. And certainly other examples could be presented as well.

In another example, in an embodiment where an MDPD transmits the outputfeed 1624 of FIG. 16D, the downstream device may (in an examplesituation) only receive the messages ‘1 ABC 1’ and ‘3 ABC 2’ and not themessage ‘2 MNO 1’. In such an embodiment, the downstream device is ableto determine that it has not received the message with a message-basedsequence number of ‘2’, however it is still able to maintain anup-to-date order book for the ticker symbol ‘ABC’ because there is nogap in the symbol-level sequence number for ‘ABC’. Order books otherthan the order book for the ticker symbol ‘ABC’ are considered to not beup-to-date, because the downstream client device is not able todetermine which order book (ticker symbol) was modified by the messageassociated with the feed-level sequence number of ‘2’. The downstreamdevice may request (using a gap-fill request) that the upstream deviceretransmit the message with the feed-level sequence number of ‘2’. Andcertainly other examples could be presented as well.

FIG. 17 depicts an example communication sequence, in accordance with atleast one embodiment. The example communication sequence includescommunications among (i) the upstream device 102, (ii) the MDPD 104(having the crosspoint switch 302, the PLC 206, and the host 304), and(iii) the downstream device 106. The upstream device 102 provides aninput feed (e.g., input feed 116) to the crosspoint switch 302 at 1702.The crosspoint switch 302 provides the input feed to the PLC 206 at1704.

At 1706, the PLC 206 generates an output feed. The output feed (e.g.,output feed 118) may be any number of types of output feeds. Forexample, the output feed generated at 1706 may be a customizedmarket-data output feed as described herein. The output feed may begenerated in accordance with an output-feed profile maintained at theMDPD 104, the output-feed profile identifying a subset of tickersymbols, a partitioning scheme, and/or an output-feed protocol. Themessages in the output feed may be sequentially numbered. In someembodiments, the sequential numbers are feed-level sequence numbers,symbol-level sequence numbers, and/or partition-level sequence numbers.The PLC 206 may further translate the input feed from a first protocolinto a second protocol when generating the output feed.

At 1708, the PLC 206 provides the output feed to the crosspoint switch302. The crosspoint switch 302 is configured to forward the output feedto the downstream device 106 at 1710. Additionally, the PLC 206 providesan archival copy of the input feed to the host 304 at 1714. In someembodiments, the archival copy of the input feed is created by adigital-logic assembly line of the PLC 206 (e.g., the digital-logicassembly line 1432 of FIG. 14) and is transmitted via a communicationpath to the host 304 (e.g., via data connection 1450, and PCIe bus 346).At 1716, the host 304 caches the archival copy of the input feed (e.g.,the order-book updates) in data storage, facilitating the ability of theMDPD 304 to provide late-join and/or gap-fill responses to thedownstream device 106.

At 1718, the downstream device 106 detects a missing message in itsreceived output feed. Detecting the missing message may be based ondetecting a gap in the sequence numbers of the received output feed,whether that be a gap in the feed-level, symbol-level, orpartition-level sequence numbers. At 1720, the downstream device 106sends a gap-fill request to the MDPD 104, which may be received by thehost 304 as indicated in FIG. 17, indicating the missing sequencenumbers of the detected gap. As depicted in FIG. 17, the gap-fillrequest is sent to the host 304. The gap-fill request may be transmittedvia the data network 352 and the NIC 340.

At 1732, the host 304 retrieves the missing updates identified by thedownstream device 106 and, at 1734, provides the information in agap-fill response to the downstream device 106. In some embodiments,retrieving the missing update comprises correlating the identifiedmissing update's sequence number with an input-feed sequence number viaa stored mapping. That is, in some embodiments, the host 304 maintainsinput-feed-to-output-feed mapping data in data storage that correlatesbetween each cached order-book update (from the input feed) and atransmitted customized-market-data-output-feed message (i.e., therespective sequence number of that corresponding transmittedcustomized-market-data-output-feed message). The host 304 may correlatethe missing sequence numbers identified by the downstream device toorder-book updates in a cached archival copy of the input feed based onthis input-feed-to-output-feed mapping data. An example of suchinput-feed-to-output-feed mapping data is depicted in—and describedbelow in connection with—FIG. 18D. Indeed, the example data in FIGS.18A-18D is used below in describing an example scenario.

FIG. 18A depicts a third example input feed, in accordance with at leastone embodiment. In particular, FIG. 18A depicts an input feed 1850 thatincludes incremental order-book updates for a plurality of tickersymbols. In the input feed 1850, there are eleven order-book updates,each of which occupies a row in FIG. 18A. From left to right, each rowincludes for its corresponding order-book update, the following fields:

-   -   IF-SEQ. # (i.e., INPUT-FEED SEQUENCE NUMBER)        -   the sequence number that the upstream device 102 (e.g., an            exchange) has assigned to that order-book update, conveying            the sequential position of that order-book update with            respect to the input feed 1850 as a whole (i.e., it is a            feed-level sequence number for the input feed 1850));    -   SYMBOL        -   the ticker symbol to which that order-book update pertains;    -   TYPE        -   an update type, which in this example indicates whether the            update is an ADD-ORDER update, adding a new (active) order;            a MODIFY-ORDER update, modifying an existing (active) order            established in a prior ADD-ORDER update; or a CANCEL-ORDER            update, cancelling—and therefore removing from            consideration—an existing order established in a prior            ADD-ORDER update;    -   ORDER #        -   the order number that the upstream device 102 (e.g., an            exchange) has assigned to the order to which that order-book            update pertains;    -   DIRECTION        -   an indication as to whether the order to which the update            pertains is an order to BUY or SELL a quantity of e.g.,            shares;    -   QTY        -   the quantity (e.g., of shares) specified in that order-book            update; and    -   PRICE        -   the price (in US dollars and on a per-share basis, in this            example), specified in that order-book update.

It can be seen in FIG. 18A that the example input feed 1850 includes thefollowing eleven example order-book updates in the following order:

-   -   IF-SEQ. #: 1        -   SYMBOL: ABC        -   TYPE: ADD-ORDER        -   ORDER #: 7002        -   DIRECTION: BUY        -   QTY: 100        -   PRICE: $7    -   IF-SEQ. #: 2        -   SYMBOL: GHI        -   TYPE: ADD-ORDER        -   ORDER #: 7003        -   DIRECTION: SELL        -   QTY: 50        -   PRICE: $9    -   IF-SEQ. #: 3        -   SYMBOL: DEF        -   TYPE: ADD-ORDER        -   ORDER #: 7004        -   DIRECTION: SELL        -   QTY: 200        -   PRICE: $8    -   IF-SEQ. #: 4        -   SYMBOL: JKL        -   TYPE: ADD-ORDER        -   ORDER #: 7005        -   DIRECTION: BUY        -   QTY: 75        -   PRICE: $8    -   IF-SEQ. #: 5        -   SYMBOL: MNO        -   TYPE: ADD-ORDER        -   ORDER #: 7006        -   DIRECTION: BUY        -   QTY: 300        -   PRICE: $7    -   IF-SEQ. #: 6        -   SYMBOL: STU        -   TYPE: ADD-ORDER        -   ORDER #: 7007        -   DIRECTION: BUY        -   QTY: 100        -   PRICE: $6    -   IF-SEQ. #: 7        -   SYMBOL: ABC        -   TYPE: ADD-ORDER        -   ORDER #: 7008        -   DIRECTION: SELL        -   QTY: 50        -   PRICE: $9    -   IF-SEQ. #: 8        -   SYMBOL: STU        -   TYPE: MODIFY-ORDER        -   ORDER #: 7007        -   DIRECTION: BUY        -   QTY: 50        -   PRICE: $6    -   IF-SEQ. #: 9        -   SYMBOL: GHI        -   TYPE: ADD-ORDER        -   ORDER #: 7009        -   DIRECTION: SELL        -   QTY: 100        -   PRICE: $6    -   IF-SEQ. #: 10        -   SYMBOL: ABC        -   TYPE: MODIFY-ORDER        -   ORDER #: 7002        -   DIRECTION: BUY        -   QTY: 50        -   PRICE: $5    -   IF-SEQ. #: 11        -   SYMBOL: ABC        -   TYPE: CANCEL-ORDER        -   ORDER #: 7008        -   DIRECTION: not required and not present        -   QTY: not required and not present        -   PRICE: not required and not present

FIG. 18B depicts a third example output feed, in accordance with atleast one embodiment. In particular, FIG. 18B depicts an output feed1852 that is generated by filtering the input feed 1850 of FIG. 18A downto the ticker symbols ‘ABC’ and ‘MNO’, per an output-feed profileidentifying a ticker symbol subset of {ABC, MNO}. As can be seen in FIG.18B, each row in the example output feed 1852 (i) corresponds to anorder-book update that was kept from the input feed 1850 and (ii) fromleft to right, for its corresponding order-book update, includes thefollowing fields:

-   -   OF-SEQ. # (i.e., OUTPUT-FEED SEQUENCE NUMBER)        -   the sequence number that the MDPD 104 has assigned to that            order-book update in the output feed 1852, conveying the            sequential position of that order-book update with respect            to the output feed 1852 as a whole (i.e., it is a feed-level            sequence number for the output feed 1852));    -   SYMBOL (copied (or otherwise preserved) from the corresponding        input-feed order-book update)        -   the ticker symbol to which that order-book update pertains;    -   SYM SEQ. #        -   the symbol-level sequence number that the MDPD 104 has            assigned to that order-book update in the output feed 1852,            conveying the sequential position of that order-book update            with respect to the order-book updates that (i) were            received by the MDPD 104 in the input feed 1850 and (ii)            pertain to the particular ticker symbol to which that            order-book update pertains;    -   TYPE (copied (or otherwise preserved) from the corresponding        input-feed order-book update)        -   an update type, which in this example indicates whether the            update is an ADD-ORDER update, a MODIFY-ORDER update, or a            CANCEL-ORDER update;    -   ORDER # (copied (or otherwise preserved) from the corresponding        input-feed order-book update)        -   the order number that the upstream device 102 (e.g., an            exchange) has assigned to the order to which that order-book            update pertains;    -   DIRECTION (copied (or otherwise preserved) from the        corresponding input-feed order-book update)        -   whether the order to which the update pertains is a BUY            order or a SELL order;    -   QTY (copied (or otherwise preserved) from the corresponding        input-feed order-book update)        -   the quantity (e.g., of shares) specified in that order-book            update; and    -   PRICE (copied (or otherwise preserved) from the corresponding        input-feed order-book update)        -   the price (in US dollars and on a per-share basis, in this            example), specified in that order-book update.

In the example that is depicted in FIGS. 18A and 18B, the output feed1852 is a filtered version of the input feed 1850, albeit an annotatedfiltered version in that output-feed feed-level and symbol-levelsequence numbers have been added to the order-book updates that survivedthe filtration. In various different embodiments, a customized outputfeed could be any one or any combination of two or more of a filteredversion of the input feed 1850, a partitioned version of the input feed1850, and a protocol-translated version of the input feed 1850.

It can be seen in FIG. 18B that the example output feed 1852 includesthe following five order-book updates in the following order:

-   -   OF-SEQ. #: 1        -   SYMBOL: ABC        -   SYM SEQ. #: 1        -   TYPE: ADD-ORDER        -   ORDER #: 7002        -   DIRECTION: BUY        -   QTY: 100        -   PRICE: $7    -   OF-SEQ. #: 2        -   SYMBOL: MNO        -   SYM SEQ. #: 1        -   TYPE: ADD-ORDER        -   ORDER #: 7006        -   DIRECTION: BUY        -   QTY: 300        -   PRICE: $7    -   OF-SEQ. #: 3        -   SYMBOL: ABC        -   SYM SEQ. #: 2        -   TYPE: ADD-ORDER        -   ORDER #: 7008        -   DIRECTION: SELL        -   QTY: 50        -   PRICE: $9    -   OF-SEQ. #: 4        -   SYMBOL: ABC        -   SYM SEQ. #: 3        -   TYPE: MODIFY-ORDER        -   ORDER #: 7002        -   DIRECTION: BUY        -   QTY: 50        -   PRICE: $5    -   OF-SEQ. #: 5        -   SYMBOL: ABC        -   SYM SEQ. #: 4        -   TYPE: CANCEL-ORDER        -   ORDER #: 7008        -   DIRECTION: not required and not present        -   QTY: not required and not present        -   PRICE: not required and not present

In the output feed 1852, the order-book update with the feed-levelsequence number of ‘1’ also has a symbol-level sequence number of ‘1’because it is the first order-book update to the ticker symbol ‘ABC’ inthe input feed 1850. For short, that order-book update is referred tohere as “1 ABC 1” (i.e., the syntax for that shorthand is “[feed-levelsequence number] [ticker symbol] [symbol-level sequence number]), andsimilar shorthand is used at various points in this disclosure fororder-book updates in customized market-data output feeds that have botha feed-level and a symbol-level sequence number. It can further be seen,then, that output-feed order-book update ‘2 MNO 1’ is the second-overallupdate in the output feed 1852 and the first pertaining to the tickersymbol ‘MNO’ received in the input feed 1850. The output-feed order-bookupdate ‘3 ABC 2’ is third overall and the second pertaining to ‘ABC’.The output-feed order-book update ‘4 ABC 3’ is the fourth overall andthe third pertaining to ‘ABC’, and further is a MODIFY-ORDER update tothe order bearing the order number 7002 (updating both the (i) quantityfrom 100 shares to 50 shares and (ii) the bidding price from $7 pershare to $5 per share). And the output-feed order-book update ‘5 ABC 4’is the fifth overall and the fourth pertaining to ‘ABC’, and further isa CANCEL-ORDER update to the order bearing the order number 7008(therefore removing the order 7008 from consideration).

FIG. 18C includes a plurality of example views of an example activeorder list that is based on the third example output feed of FIG. 18B,in accordance with at least one embodiment. In particular, FIG. 18Cdepicts example active order list views 1862, 1864, 1866, and 1868 of anexample active order list 1860. The active order list 1860 is associatedwith the ticker symbol ‘ABC’, and the active order list views 1862,1864, 1866, and 1868 respectively show the state of the active orderlist 1860 following the receipt of the order-book updates thatcorrespond to the first, third, fourth, and fifth rows of the outputfeed 1852 of FIG. 18B. It is noted that the active order list views1862, 1864, 1866, and 1868 could represent the state of an ‘ABC’ activeorder list being maintained by a consumer—such as the downstream device106—of the output feed 1852, or it could represent the state of an ‘ABC’active order list being maintained by the generator—i.e., the MDPD104—of the output feed 1852, such that that generator would be ready ifnecessary to provide a snapshot (i.e. a current list of active orders)(e.g., in a late-join response or periodically provided snapshot, amongother possibilities) for the ticker symbol ‘ABC’. And certainly otherexamples could be described here as well.

Getting now further into the details of FIG. 18C, the active order listview 1862 is a first view of the active order list 1860 afterapplying—to what in this example is an initially empty list 1860 (notshown)—the ‘1 ABC 1’ order-book update of the output feed 1852, whichannounced the existence of ORDER #7002 to BUY 100 shares of ‘ABC’ at $7per share. As can be seen in the active order list view 1862, thatupdate causes an entry to the list of active orders with an order numberof 7002, a direction of BUY, a quantity of 100 shares, and a price of $7per share.

Next, the active order list view 1864 shows the active order list 1860after applying—to the active order list view 1862—the ‘3 ABC 2’order-book update of the output feed 1852, which announced the existenceof ORDER #7008 to SELL 50 shares of ‘ABC’ at $9 per share. As can beseen in the active order list view 1864, that update causes a new entryin the list of active orders 1860 with an order number of 7008, adirection of SELL, a quantity of 50 shares, and a price of $9 per share.

Next, the active order list view 1866 shows the active order list 1860after applying—to the active order list view 1864—the ‘4 ABC 3’order-book update of the output feed 1852, which modified ORDER #7002 tobe a BUY order for 50 (rather than 100) shares of ‘ABC’ at a biddingprice of $5 (rather than $7) per share. As can be seen in the activeorder list view 1866, that order-book update updates the entry in theactive order list for ORDER #7002 to show the new quantity of 50 sharesat the new price of $5.

Lastly with respect to FIG. 18C, the active order list view 1868 showsthe active order list 1860 after applying—to the active order list view1866—the ‘5 ABC 4’ order-book update of the output feed 1852, whichcancelled the ORDER #7008. As can be seen in the active order list view1868, that order-book update has the effect of removing the ORDER #7008from the list of active orders.

As mentioned above, in at least one embodiment, to be able to providegap-fill requests, the MDPD 104 maintains (e.g., in the data storage 108of the host 304) input-feed-to-output-feed mapping data that correlatescached copies of order-book updates from the input feed with (e.g.,sequence numbers of) corresponding market-data-output-feed messages inthe market-data output feed. In an embodiment, whatever sequence numbers(feed-level, symbol-level, and/or partition-level) are included intransmitted market-data output-feed messages are also incorporated intothe input-feed-to-output-feed mapping data so that the MDPD 104 can beresponsive to gap-fill requests that are keyed to any of such sequencenumbers (i.e., gap-fill requests in which the order-book updates thatare being requested are specified in terms of any of such sequencenumbers). An example of input-feed-to-output-feed mapping data isdiscussed below.

FIG. 18D depicts example input-feed-to-output-feed mapping datacorrelating the order-book updates of the third example input feed ofFIG. 18A with the order-book updates of the third example output feed ofFIG. 18B, in accordance with at least one embodiment. In particular,FIG. 18D depicts a table 1874 that includes input-feed-to-output-feedmapping data between (i) input-feed (feed-level) sequence numbers oforder-book updates from the input feed 1850 on the left side of thetable 1874 and (ii) output-feed (feed-level and symbol-level) sequencenumbers of corresponding order-book updates from the output feed 1852 onthe right side of the table 1874. Also listed on the right side of thetable 1874 are the ticker symbols of those updates.

The same five output-feed order-book updates that are depicted in theoutput feed 1852 of FIG. 18B are mapped in the table 1874. Using theshorthand introduced above, the first mapping (i.e., the first row ofthe table 1874) is between (i) the order-book update that bore theinput-feed sequence number (IF-SEQ. #) ‘1’ in the input feed 1850 and(ii) the order-book update ‘1 ABC 1’ from the output feed 1852. Thesecond mapping is between (i) the order-book update that bore theIF-SEQ. # ‘5’ in the input feed 1850 and (ii) the order-book update ‘2MNO 1’ from the output feed 1852. The third mapping is between (i) theorder-book update that bore the IF-SEQ. # ‘7’ in the input feed 1850 and(ii) the order-book update ‘3 ABC 2’ from the output feed 1852. Thefourth mapping is between (i) the order-book update that bore theIF-SEQ. # ‘10’ in the input feed 1850 and (ii) the order-book update ‘4ABC 3’ from the output feed 1852. The fifth and final mapping is between(i) the order-book update that bore the IF-SEQ.# ‘11’ in the input feed1850 and (ii) the order-book update ‘5 ABC 4’ from the output feed 1852.

It is noted that FIG. 18D contains the type of input-feed-to-output-feedmapping data that might be used by the MDPD 104 in fulfilling one ormore gap-fill requests, as described herein. If the MDPD 104 archived acopy of the input feed 1852 and received gap-fill requests keyed to the‘3 ABC 2’-type notation of the output feed 1852, the MDPD 104 could thenuse a table such as the table 1874 to determine, for example, that ‘3ABC 2’ in the output feed 1852 corresponds to IF-SEQ. #‘7’ in anarchived copy of the input feed 1852, and accordingly retrieve thearchived copy of that order-book update and transmit the same to therequesting party as a replacement copy of ‘3 ABC 2’ from the output feed1852. And certainly other similar examples could be described.

It is noted that the table 1874 of FIG. 18D depicts one set ofinput-feed-to-output-feed mapping data for one ticker symbol in oneexample output feed (i.e., the output feed 1852). This is for clarity ofpresentation and not by way of limitation. In embodiments with multipledifferent output feeds, the input-feed-to-output-feed mapping data maytake on an expanded form that further includes mappings of input-feedsequence numbers to the output-feed sequence numbers and perhaps alsothe symbol-level sequence numbers of the respective order-book updatesin each of the multiple output feeds. This could be modeled as aseparate table—each similar to the table 1874—for each symbol in eachoutput feed. Another way to model this would be as an expanded versionof the table 1874 wherein, for example, the first row shows that thesame input-feed order-book update (i.e., the input-feed order-bookupdate having the IF-SEQ. #‘1’ in the input feed 1850) could map to both(i) ‘1 ABC 1’ in the output feed 1852 (as shown in FIG. 18D) and (ii) anexample order-book update such as ‘3 ABC 1’ in another example outputfeed (not shown). It is noted that the first order-book updatepertaining to ‘ABC’ is ‘[x] ABC 1’ in both example output feeds, thoughthis example presupposes that multiple order-book updates preceded thisexample one in the input feed 1850 (and also matched the filteringcriteria of the additional example output feed). And certainly numerousother similar examples could be described as well.

Directing the reader's attention now briefly to FIG. 17 and FIGS.18A-18D collectively, described just below is an example scenario thatrefers to both the example sequence diagram 1700 of FIG. 17 and theexample data that is depicted and described herein in connection withFIGS. 18A-18D. In the below-described example scenario, the MDPD 104 (i)receives the input feed 1850 from the upstream device 102, (ii) providesthe customized output feed 1852 to the downstream device 106, (iii)receives a gap-fill request for missing updates from the downstreamdevice 106; and (iv) provides a gap-fill response containing therequested missing updates to the downstream device 106.

In this example scenario, the upstream device 102 provides the inputfeed 1850 to the MDPD 104 (at 1702). As discussed above, in at least oneembodiment, the input feed 1850 includes a plurality of incrementalorder-book updates to a plurality of ticker symbols. The PLC 206generates the output feed 1852 (at 1706) for the downstream device 106.The PLC 206 may generate any number of customized output feeds for anynumber of downstream devices, but for clarity, only a single output feedis discussed here. In this example, the output feed 1852 is provided tothe downstream device 106 by way of the crosspoint switch 302 (at 1708and 1710).

The PLC 206 also provides the order-book-updates to the host 304 forcaching an archival copy of the input feed 1850 (at 1714 and 1716). Inat least one embodiment, only those order-book updates that areassociated with the ticker symbols ‘ABC’ and ‘MNO’ are cached becausethose are the only symbols in the example filtered output feed 1852. Inother embodiments, all order-book updates from the input feed 1850 arecached. And certainly other example subsets of the input feed 1850 couldbe cached in other embodiments.

The archival copy of the input feed 1850 that is cached by the host 304may take any number of formats. For example, the host 304 may cache theinput-feed order-book updates, maintaining the input-feed sequencenumbers to identify each update. The host 304 may further determine afeed-level, a symbol-level, and/or a partition-level sequence number ofthe updates in each output feed, and map these output-feed sequencenumbers to sequence numbers from the input feed 1850, perhaps in a tablesuch as the table 1874. Some options for how the host 304 identifiesthose output-feed sequence numbers are described below.

In at least one embodiment, the host 304 maintains an updated list ofactive orders, such as those depicted in the views 1862-1868 of FIG.18C, for each ticker symbol in the output feed. These current locallists of active orders may be used to fulfill late-join requests and/orto provide periodic (or occasional, interrupt-based, and/or the like)snapshots. In some embodiments, the host 304 caches both a plurality ofthe most recent order-book updates and maintains a current (i.e.,updated) local list of active orders for every ticker symbol in theinput feed 1850; in other embodiments, the host 304 does so for justthose ticker symbols that are included in at least one output feed.Other example implementations could be listed here as well.

Returning to the example scenario, the downstream device 106 receivesthe messages of the output feed 1852. In some embodiments, the outputfeed 1852 is provided to the downstream device 106 as a series of UDPpackets, with each packet comprising an order-book update message for aticker symbol. The downstream device 106 receives each of the messagesof the output feed 1852 and is thus able to maintain an up-to-date orderbook based on receiving and applying the incremental messages. Thedownstream device 106 is further able to determine whether a message inthe output feed 1874 is missing based on detecting a gap in the sequencenumbers (at 1718).

In an example, the downstream device 106 receives the output feed 1852and receives the messages associated with “1 ABC 1”, 2 MNO 1”, and “4ABC 3”. The downstream device 106 detects a missing message (at 1718)based on the gap in the feed-level sequence number, here the messagewith the feed-level sequence number of “3”. Alternatively, thedownstream device 106 may also detect a missing message based on the gapin symbol-level sequence numbers, here the message for the second updateto ‘ABC’. The downstream device 106 requests (at 1720), from the MDPD104, a retransmission of the message associated with the feed-levelsequence number of “3”, or alternatively of the message associated withthe symbol-level sequence number of ‘2’ for the ticker symbol ‘ABC’. Insome embodiments, the downstream device 106 specifies both thefeed-level and symbol-level sequence number (and the associated tickersymbol) of the missing update by requesting ‘3 ABC 2’. And otherexamples could be listed here as well.

In some embodiments, the host 304 correlates the identified (i.e.,requested) missing update message with the cached archival copy of theinput feed. Using the table 1874, the host 304 correlates the sequencenumber from the request (e.g., ‘3 ABC 2’) to the order-book update withan input-feed sequence number of ‘7’, which corresponds to the ordernumber ‘7008’. The host 304 retrieves the portion of the cached archivalcopy of the input feed corresponding to the missing message(s) andprovides the associated update(s) to the downstream device 106.

In some embodiments, the MDPD 104 determines whether to provide alate-join response or a gap-fill response to the downstream device 106based on a quantity of order-book updates messages identified as missingby the downstream device 106. The MDPD 104 may determine to provide agap-fill response if the number of missing messages is low (e.g., lessthan or equal to a particular threshold), or provide a late-joinresponse if the number of missing messages is high (e.g., greater thanthe particular threshold). In some embodiments, the MDPD 104 provides alate-join response if the requested individual updates are no longercached by the host 304. And certainly other example implementationscould be listed here as well.

It is described above that, in some embodiments, the MDPD 104 maintainsinput-feed-to-output-feed mapping data—such as the table 1874 of FIG.18D—that correlates (feed-level) input-feed sequence numbers ofinput-feed order-book updates with (feed-level and perhaps alsosymbol-level) output-feed sequence numbers of output-feed order-bookupdates. In some embodiments, it is the host 304 that is the subpart ofthe MDPD 104 that maintains such mapping data. As the reader willrecall, in some embodiments, the PLC 206 is the subpart of the MDPD 104that (i) selects which input-feed order-book updates to include in agiven output feed as output-feed order-book updates, (ii) assignsfeed-level and perhaps also symbol-level output-feed sequence numbers tothose output-feed order-book updates, and (iii) inserts those one ormore assigned sequence numbers into those output-feed order-book updatesprior to transmitting those output-feed order-book updates to adownstream entity.

Thus, in such embodiments, for the host 304 to be able to maintainaccurate input-feed-to-output-feed mapping data for a given output feed,the host 304 either has to (i) independently generate the sameoutput-feed sequence number(s) that the PLC 206 is assigning andinserting into output-feed order-book updates or (ii) receive from thehost 304, perhaps via the PCIe bus 346, either (a) the assigned sequencenumber(s) themselves or (b) information that is sufficient for the host304 to derive the output-feed sequence number(s)—such information isreferred to herein as “sequence-number-record data”. All three of thesemapping-data-generation options are contemplated as embodiments, and aredescribed in turn below. In those descriptions and elsewhere in thisdisclosure, the phrase “output-feed sequence numbers” is to beinterpreted as “one or more output-feed sequence numbers, which could befeed-level, symbol-level, and/or partition-level sequence numbers forrespective output-feed order-book updates”.

With respect to the first mapping-data-generation option—i.e.,independent generation of the same output-feed sequence numbers by thePLC 206 and the host 304, it has been explained above that, in someembodiments, the PLC 206 maintains an operational copy of an output-feedprofile for each output feed and the host 304 maintains a substantivelyequivalent management copy of that output-feed profile for that sameoutput feed. Thus, in some embodiments, the PLC 206 applies the logic ofthe operational copy and the host 304 independently applies the(equivalent) logic of the management copy; as a result the output-feedsequence numbers generated by the PLC 206 match the output-feed sequencenumbers generated by the host 304, and the host 304 is thereforeproperly prepared to respond to gap-fill requests from downstreamdevices that detected the corresponding gaps in the output feed sent tothe downstream devices by the PLC 206.

With respect to the second mapping-data-generation option—i.e., thetransmission by the PLC 206 to the host 304 of the actuallyassigned-and-inserted output-feed sequence numbers, the PLC 206 couldcarry out that function in a number of ways. In some embodiments, thePLC 206 sends reports to the host 304, where substantively those reportsare essentially one or more rows of a table such as the table 1874 ofFIG. 18D. In other embodiments, the PLC 206 annotates each input-feedorder-book update (that is sent to the host 304 as an archival copy)with data indicative of which output-feed sequence numbers (andspecifically for which output feeds) had been assigned by the PLC 206 tothe corresponding input-feed order-book updates. Two exampleannotation-architecture options (i.e., configurations of the PLC 206)for annotating archival copies of input-feed order-book updates arefurther discussed following the below description of the thirdmapping-data-generation option.

With respect to the third mapping-data-generation option—i.e., thetransmission by the PLC 206 to the host 304 of the above-mentionedsequence-number-record data, that data could similarly be transmitted bythe PLC 206 to the host 304 in the form of reports (that are separatefrom the archival copies of input-feed order-book updates but includeinput-feed sequence numbers so as to disambiguate which input-feedorder-book updates correspond with which portion of thesequence-number-record data) or in the form of annotations to thearchival copies of the corresponding input-feed order-book updates(which would naturally already include their own respective input-feedsequence numbers).

Whether in a report or in an annotation, and using the examplearchitecture shown in FIG. 14 by way of example, thesequence-number-record data for a given archival copy of a giveninput-feed order-book update could take the form of a 32-bit (i.e.,four-byte) binary number in which, from left to right, each binary digitis set to a ‘1’ if the corresponding digital-logic assembly lineincluded that particular input-feed order-book update in the output feedbeing generated by that assembly line, or instead is set to a ‘0’ if thecorresponding digital-logic assembly line did not include thatparticular input-feed order-book update in the output feed beinggenerated by that assembly line. The 32nd bit would be ignored in thisexample as it would not have a corresponding output feed; moreover, thisapproach is scalable to any number of digital-logic assembly lines andassociated output feeds. In at least one embodiment, upon receipt ofsuch sequence-number-record data for an archival copy of a giveninput-feed order-book update, the host 304 increments and storesappropriate counters for input-feed order-book updates that wereincluded in one or more output feeds. And certainly other suitableimplementations could be described here as well.

As mentioned above, what follows here is description of two exampleannotation-architecture configurations (for the PLC 206) for annotatingarchival copies of input-feed order-book updates. Each of the first andsecond example annotation-architecture configurations are describedherein as being example configurations of the PLC 206. As a reminder,the PLC 206 could annotate the archival copies of the input-feedorder-book updates in accordance with the second mapping-data-generationoption—i.e., the annotations could include the actuallyassigned-and-inserted output-feed sequence numbers, or perhaps inaccordance with the third mapping-data-generation option—i.e., theannotations could take an abbreviated form such as the above-described32-bit-binary-number example of sequence-number-record data. And it isnoted that other annotation options could be used as well.

As referenced above, two example annotation-architectureconfigurations—for the PLC 206—are described below in connection withFIG. 18E and FIG. 18F; by way of illustration and not limitation, bothsuch descriptions use the above-described 32-bit-binary-number exampleof sequence-number-record data. Broadly speaking, bothannotation-architecture configurations that are described herein involvewhatever portion of the PLC 206 is making the decision to keep ordiscard a particular input-feed order-book update in connection with aparticular output feed, indeed preserving that decision by either (i)annotating the corresponding input-feed order-book update directly (asis the case in the embodiment shown in—and described in connectionwith—FIG. 18E) or (ii) instructing the 32nd digital-logic assembly line1432 to annotate the corresponding input-feed order-book update (as isthe case in the embodiment shown in—and described in connectionwith—FIG. 18F).

FIG. 18E depicts a first example annotation-architecture configurationof a PLC for an MDPD, in accordance with at least one embodiment. Inparticular, FIG. 18E depicts a configuration 1876 of the PLC 206. In theconfiguration 1876, the PLC 206 is configured somewhat similarly to theconfiguration shown in FIG. 14, though in an abbreviated form. Thedigital-logic assembly lines 1403-1431 have been replaced by ahorizontal ellipsis 1877. As can be seen in FIG. 18E, the PLC 206 stillreceives the input feed 116 via the PLC data port 328. And like theconfiguration of FIG. 14, the input feed 116 is delivered in parallel toeach digital-logic assembly line 1401-1432 so that each digital-logicassembly line 1401-1432 can make an independent decision as to whetherto keep or discard each order-book update in the input feed 116. Alsolike FIG. 14, the digital-logic assembly line 1401 delivers the outputfeed 118 (to the crosspoint switch 302) via the PLC data port 330, andthe digital-logic assembly line 1402 delivers the output feed 628 (tothe crosspoint switch 302) via the PLC data port 638. And like FIG. 14,in FIG. 18E, the digital-logic assembly line 1432 is arranged to deliveran archival copy of the input feed 116 to the host 304 via the dataconnection 1450.

Though there are similarities, some of which are noted above, betweenthe configuration of the PLC 206 in FIG. 14 and the configuration 1876of the PLC 206 in FIG. 18E, there are some differences as well. Forexample, unlike FIG. 14, FIG. 18E expressly shows the digital-logicsegments 212 and 622 that implement the ticker-symbol subsets of theoperational output-feed profiles 210 and 620, respectively, in a contextin which the operational output-feed profiles 210 and 620 areimplemented by the digital-logic assembly lines 1401 and 1402,respectively.

Also unlike FIG. 14, the digital-logic assembly line 1432 is depicted inFIG. 18E as including an annotation digital-logic segment 1878. In thedepicted embodiment, the digital-logic segment 212 notifies theannotation digital-logic segment 1878 (via a connection 1880) of each‘keep’ or ‘discard’ decision the digital-logic segment 212 makes withrespect to an input-feed order-book update. The digital-logic segment622 does the same via a connection 1882. Moreover, a vertical ellipsis1879 in FIG. 18E represents that, in an embodiment, a similar respectiveconnection (not depicted) exists from each digital-logic assembly line1403-1431 (not depicted) to the annotation digital-logic segment 1878for similar respective notifications, such that the annotationdigital-logic segment 1878 has the information it needs to build theabove-described 32-bit binary number for each respective archived copyof an input-feed order-book update.

For a given order-book update, each such notification (sent along theconnection 1880, the connection 1882, or the like) could include (i) thecorresponding input-feed sequence number and (ii)(a) a ‘1’ (for ‘kept’,i.e., ‘included that order-book update in the respective output feed’)or (b) a ‘0’ (for ‘discarded’, i.e., ‘did not include that order-bookupdate in the respective output feed’). In embodiments in which the PLC206 is arranged such that there is synchronization as to whichinput-feed order-book update is being processed by all of thedigital-logic assembly lines in a given time period, each suchnotification may simply take the form of a ‘1’ (for ‘kept’) or a ‘0’(for ‘discarded’). If needed, a suitable delay can be built into thedigital-logic assembly line 1432 so as to give the other digital-logicassembly lines 1401-1431 a chance to notify the digital-logic assemblyline 1432 prior to the annotation digital-logic segment 1878 copying thecorresponding ‘1s’ or ‘0s’ into the corresponding places in therespective 32-bit binary annotation for the particular input-feedorder-book update being processed. And certainly other exampleimplementations could be described here as well.

FIG. 18F depicts a second example annotation-architecture configurationof a PLC for an MDPD, in accordance with at least one embodiment. Inparticular, FIG. 18F depicts a configuration 1884 of the PLC 206. Theconfiguration 1884 of the PLC 206 that is depicted in FIG. 18F issimilar in many ways to the configuration 1876 of the PLC 206 that isdepicted in FIG. 18E, and thus it is on the differences that thisdescription of FIG. 18F is focused. First, in the configuration 1884,the digital-logic assembly line 1432 does not include the annotationdigital-logic segment 1878; accordingly, the connection 1880, theconnection 1882, and the like are also not present in the configuration1884.

Another difference is that, in the configuration 1884, the PLC 206includes a master-controller digital-logic segment 1882, which itselfincludes the above-mentioned digital-logic segments 212 and 622, whichhave moved from being in the respective digital-logic assembly lines1401 and 1402 in the configuration 1876 to being in themaster-controller digital-logic segment 1882, and which respectivelyimplement the ticker-symbol subsets of the operational output-feedprofiles 210 and 620.

In the embodiment that is depicted in FIG. 18F, the digital-logicsegment 212 (i) receives the input feed 116 from the PLC data port 328,(ii) outputs a filtered feed 1888 to the digital-logic assembly line1401 of only those order-book updates from the input feed 116 that matchthe ticker-symbol subset implemented by the digital-logic segment 212,and (iii) outputs a once-annotated input-feed 116* in which thedigital-logic segment 212 has marked each order-book update that it kept(i.e., that it included in the filtered feed 1888) with a ‘1’ in a firstplace of the respective 32-bit binary sequence-number-record data forthat order-book update. In this example embodiment, that 32-bit value isinitialized to all ‘0s’, so only kept updates necessitate updating acorresponding place value in the respective sequence-number-record data;clearly other implementations could be described here as well.

Similarly, the digital-logic segment 622 (i) receives the once-annotatedinput feed 116* from the digital-logic segment 212, (ii) outputs afiltered feed 1890 to the digital-logic assembly line 1402 of only thoseorder-book updates from the once-annotated input feed 116* that matchthe ticker-symbol subset implemented by the digital-logic segment 622,and (iii) outputs a twice-annotated input-feed 116** in which thedigital-logic segment 622 has (a) left alone any annotations made by thedigital-logic segment 212 and (b) marked each order-book update that itkept (i.e., that it included in the filtered feed 1890) with a ‘1’ in asecond place of the respective 32-bit binary sequence-number-record datafor that order-book update.

For simplicity, the twice-annotated input-feed 116** is shown as beingreceived by a digital-logic segment 1886, which in this depictionrepresents the combined functions of the digital-logic segments (notexplicitly depicted) that are represented by the ellipsis 1887. As shownin FIG. 18F, the digital-logic segment 1886 outputs a fully-annotatedinput feed 116***, in which each order-book update includes a respective32-bit binary sequence-number record having a ‘1’ in each place thatcorresponds with a digital-logic segment that included that respectiveorder-book update in that digital-logic segment's respective outputfeed. It is that fully-annotated input feed 116*** that traverses thedigital-logic assembly line 1432 and the data connection 1450 on its wayto being archived by the host 304 as described above. Lastly, it can beseen in FIG. 18F that the digital-logic assembly lines 1401 and 1402respectively include the digital-logic segments 214 and 624, which asdescribed above implement the ticker-symbol-based feed-partitioningschemes of the operational output-feed profiles 210 and 620,respectively.

Further Examples of MDPD Architecture: Division of Labor BetweenLine-Rate Processing Module and Host

In some embodiments, the MDPD 104 distributes certain functions tovarious different MDPD components based on relative processing speed ofthe various components. For example, in some embodiments, some functionsare performed by certain components at ‘line rate’. In such embodiments,‘line rate’ means that the functions operate at, or near, the datatransmission speed of the communications line or network. In otherwords, data is handled (e.g. processed) at the ‘rate’ that such datacomes in on the ‘line’. Example components that operate at line rateinclude pass-through communication ports, a PLC such as an FPGA, acrosspoint switch, and the like. One reason to allocate some functionsto line-rate processing components or modules is to be able to processdata without the need to buffer such data.

In various embodiments, other functions are carried out by modules,components, or other resources that operate slower than at line rate.For example, data may be transmitted across legacy communication bussesor network interfaces having limited bandwidth. Data may also need to beprocessed and cached in a traditional memory or data storage, or thelike. Example components that, in at least one embodiment, operate atslower-than-line-rate speeds include a host processor, host-processordata storage, communication busses, and/or the like. Described below aresome example MDPD-architecture embodiments in accordance with which (i)one or more MDPD components operate at line rate and (ii) one or moreMDPD components operate at slower than line rate.

FIG. 19 is a first view of an example communication system that includesan upstream device, a second example MDPD, and an example downstreamdevice, in accordance with at least one embodiment. In particular, FIG.19 depicts a view 1900 that includes the upstream device 102, thedownstream device 106, and an MDPD 1902, which receives the input feed116 from the upstream device 102 and provides the output feed 118 to thedownstream device 106, similar to the MDPD 104 of FIG. 1.

The MDPD 1902 comprises a line-rate processing module (LRPM) 1904 and ahost 1908. The LRPM 1904 is communicatively coupled to an LRPMexternal-communication interface 1909. The LRPM external-communicationinterface 1909 includes (i) a first LRPM external-communication port1910 that is configured to (a) receive the input feed 116 from theupstream device 102 and (b) pass the input feed 116 to the LRPM 1904 and(ii) a second LRPM external-communication interface port 1912 that isconfigured to (a) receive the output feed 118 from the LRPM 1904 and (b)transmit the output feed 118 to the downstream device 106. Similar tothe external data ports 202 and 204 of FIG. 2, the LRPMexternal-communication ports 1910 and 1912 may be of any suitable typeof communication ports capable of managing the bandwidth of the inputand output feeds. Example port types include SFP, SFP+, QSFP, andQSFP+data ports, and/or the like. In at least one embodiment, the LRPMexternal-communication interface 1909 passes data between (i) externaldevices (such as the upstream and downstream devices 102 and 106,respectively) and (ii) the MDPD 1902, and also sends data to andreceives data from the LRPM 1904, at line rate.

In at least one embodiment, the LRPM 1904 includes a PLC 1906 that isconfigured to (i) generate the output feed 118 based on the input feed116 and (ii) transmit an archival copy 1920 of the input feed 116 to thehost 1908 via a communication bus 1946. In some embodiments, the PLC1906 generates the output feed 118 based at least in part on anoutput-feed profile that specifies output-feed parameters, such as aticker-symbol subset to include in the output feed, a partitioningscheme, an output-feed protocol, and/or the like, as described herein.

In the embodiment that is depicted in FIG. 19, the host 1908 iscommunicatively coupled to (i) the LRPM 1904 via the communication bus1946 and (ii) a host external-communication interface 1924. The host1908 includes a host processor 1914 and host data storage 1916. The host1908 may be similar to the host 304. The host processor 1914 receivesthe archival copy 1920 of the input feed 116 and caches it—via acommunication link 1918—in host data storage 1916. The host processor1914 is further configured to use the cached archival copy 1920 of theinput feed 116 to provide, to the downstream device 106 via the hostexternal-communication interface 1924, a gap-fill service (and perhapsalso one or more other services including but not limited to a late-joinservice) for the output feed 118.

In at least one embodiment, the functions of the MDPD 1902 of FIG. 19are similar to that of the MDPD 104. Like the MDPD 104, the MDPD 1902receives the input feed 116 from the upstream device 102. The input feed116 is passed through the first LRPM external-communication interfaceport 1910 to the PLC 1906 on the LRPM 1904. The PLC 1906, which may beor include an FPGA, processes the input feed 116 to generate the outputfeed 118. As discussed herein, the PLC 1906 may be configured togenerate a filtered output feed, a partitioned output feed, an outputfeed translated into a particular protocol, and/or the like.

As described, in some embodiments, the PLC 1906 generates (i) the outputfeed 118 for transmission to the downstream device 106 and (ii) thearchival copy 1920 of the input feed 116 for caching by the host 1908.The output feed 118 and the archival copy 1920 of the input feed 116 maybe generated by operational digital-logic assembly lines, similar tothat of the digital-logic assembly lines 1401-1432 of FIG. 14. In oneexample, the PLC 1906 is configured with a first digital-logic assemblyline to produce the output feed 118 and a second digital-logic assemblyline to produce the archival copy 1920 of the input feed 116. In thedepicted embodiment, the archival copy 1920 of the input feed 116 is (i)transmitted from the PLC 1906 to the host processor 1914 via thecommunication bus 1946 and (ii) cached—via the communication link1918—in the host data storage 1916.

In some embodiments, the archival copy 1920 of the input feed 116 is afiltered feed of market-data updates that includes any and allmarket-data updates that have been included in any of the output feedsgenerated by the PLC 1906. In one such example, using the input feed1850 of FIG. 18A by way of illustration, the PLC 1906 generates twofiltered output feeds. The first such output feed includes updatesassociated with the ticker symbol ‘ABC’ for a first downstream device,while the second such output feed includes updates associated with theticker symbol ‘JKL’ for a second downstream device. In such anembodiment, the archival copy 1920 of the input feed 116 includes theupdates associated with the set of ticker symbols {‘ABC’,‘JKL’}—i.e.,the updates having the input-feed sequence numbers of ‘1’, ‘4’, ‘7’,‘10’, and ‘11’ from the input feed 1850. Other example implementationscould be described as well.

In some embodiments, the PLC 1906 generates the archival copy 1920 ofthe input feed 116 such that the archival copy 1920 includes all updatesfrom the input feed 116, regardless of whether the PLC 1906 is currentlyproducing output feeds that collectively include updates to all of theticker symbols. Thus, if a downstream device requests a modification toits associated output feed to further include updates to an added tickersymbol, the host processor 1914 is able to provide, e.g., a late-joinresponse for that added ticker symbol based on the archival copy 1920 ofthe input feed 116 to that downstream device without the need for theMDPD 1902 to first request and receive updates associated with the addedticker symbol from the upstream device 102. And certainly other exampleimplementations could be presented as well.

As described, in at least one embodiment, the host processor 1914 cachesthe archival copy 1920 of the input feed 116 in the host data storage1916. In one embodiment, this involves storing the input-feed messagesand a generating a mapping (e.g., the table 1874 of FIG. 18D) betweenthe input-feed messages (e.g., input-feed sequence numbers) andoutput-feed messages (e.g., output-feed sequence numbers) for eachgenerated output feed. In at least one embodiment, caching the archivalcopy 1920 of the input feed 116 involves (i) generating and maintaininga respective current local list of active orders for each of one or moreticker symbols in the input feed 116 and (ii) caching the generatedcurrent local list of active orders for one or more symbols in the hostdata storage 1916. The cached current local list of active orders forone or more symbols may be used to generate late-join responses fordownstream devices.

In response to detecting that one or more messages are missing (e.g.,detecting a gap in the output-feed sequence numbers) in the output feed118, the downstream device 106 may request, via a data network 1952, agap fill. In an embodiment, the data network 1952 is similar to the datanetwork 352 that is depicted in, e.g., FIG. 3. The host 1908 of the MDPD1902 is communicatively coupled with the data network 1952 by the hostexternal-communication interface 1924, which in turn is communicativelycoupled to the host processor 1914 via a communication link 1922.

In at least one embodiment in which the MDPD 1902 provides a gap-fillservice, the downstream device 106 transmits a gap-fill request to theMDPD 1902 via the data network 1952. The host external-communicationinterface 1924 receives the gap-fill request and provides the receivedgap-fill request to the host processor 1914 via the communication link1922. The gap-fill request may indicate the identity of the downstreamdevice and the sequence number(s) of the missed message(s). The hostprocessor 1914 retrieves portions of the archived input feed from thehost data storage 1916 associated with the gap-fill request andgenerates a gap-fill response, which is then provided to the hostexternal-communication interface 1924 via the communication link 1922and then transmitted to the downstream device 106 via the data network1952.

In some embodiments, the MDPD 1902 is similarly configured to provide alate-join service (e.g., provide an up-to-date copy of the list ofactive orders associated with a particular ticker symbol) to thedownstream device 106 via the data network 1952. In particular, in someembodiments, the host processor 1914 is configured to maintain a currentlocal list of active orders for each ticker symbol in the plurality ofticker symbols based on the archival copy 1920 of the input feed 116.The current local lists of active orders may be similar to the lists ofactive orders depicted in FIGS. 15A-B and/or FIG. 18C for each tickersymbol in the plurality of ticker symbols. Responsive to receiving, fromthe downstream device 106, a late-join request for a particular tickersymbol, the host processor 1914 may generate a late-join response fromthe current local list of active orders for the particular tickersymbol. The host processor 1914 transmits the late-join response via thehost external-communication interface 1924 to the downstream device 106.

In some embodiments, the host processor 1914 receives a gap-fill requestfrom the downstream device 106 and the host processor 1914 responsivelyprovides a late-join response to the downstream device 106, thelate-join response being generated similar to the above embodiment fromthe maintained current local lists of active orders. The host processor1914 may determine that the gap-fill request represents a request forupdates that are no longer cached in the host data-storage 1916 and/orthat the number of updates requested by the gap-fill request exceeds apre-determined limit of updates to include in gap-fill responses. Basedon this determination, the host processor 1914 may determine to providea late-join response for the particular ticker symbol instead of agap-fill response. And certainly other examples could be listed here aswell.

FIG. 20 is a second view of the example communication system of FIG. 19,in accordance with at least one embodiment. In particular, FIG. 20 is aview 2000 that, like the view 1900 of FIG. 19, shows the upstream device102, the MDPD 1902, and the downstream device 106, as well as the inputfeed 116 and the output feed 118. In FIG. 20, the LRPM 1904 and the host1908 are not explicitly depicted. As depicted in the view 2000, the PLC1906 resides on a first circuit board 2002, and the host processor 1914resides on a second circuit board 2004. The first and second circuitboards 2002 and 2004, respectively, are communicatively connected viathe communication bus 1946. In some embodiments, the communication bus1946 includes a Peripheral Component Interconnect (PCI) Express (PCIe)bus, a PCI bus, an edge connector, a ribbon connector, or any otherboard-to-board interconnect capable of passing data signals.

In the view 2000, the PLC 1906, a line-rate processing component,receives the input feed 116 and transmits the generated output feed 118from the first circuit board 2002. The PLC 1906 also provides, via thecommunication bus 1946 to the host processor 1914 on the second circuitboard 2004, the archival copy 1920 of the input feed 116. Thus, the hostprocessor 1914 is able to cache the archival copy 1920 of the input feed116 at less than line-rate processing speed without delaying thetransmission of the output feed 118, and is therefore further able toprovide gap-fill and late-join services to downstream devices, asdescribed herein.

FIG. 21 is a third view of the example communication system of FIG. 19,in accordance with at least one embodiment. In particular, FIG. 21 is aview 2100 that is similar to the view 1900 of FIG. 19 and the view 2000of FIG. 20, and depicts the MDPD 1902 further comprising a crosspointswitch 2102 residing, along with the PLC 1906, on the first circuitboard 2002. The crosspoint switch 2102, another line-rate processingcomponent, includes the crosspoint data ports 2116, 2118, 2120, and2122, which are similar to the crosspoint data ports 316, 318, 320, and322 of FIG. 3. The crosspoint switch 2102 is configured to pass theinput feed 116 from the first LRPM external-communication port 1910 tothe PLC 1906.

As depicted in the view 2100, the crosspoint switch 2102 receives theinput feed 116 on the crosspoint data port 2116 and passes it through tothe crosspoint data port 2118. The crosspoint switch 2120 is furtherconfigured to pass the output feed 118 from the PLC 1906 to the secondLRPM external-communication port 1912. As depicted in the view 2100, thecrosspoint switch 2102 receives the output feed 118 on the crosspointdata port 2122 and passes it to the crosspoint data port 2120. Thecrosspoint switch 2102 may be similar to the crosspoint switch 702depicted in FIG. 7. Similar to the crosspoint switch 702, the crosspointswitch 2102 may be configurable via a crosspoint control port. In someembodiments, the MDPD 1902 further includes a control path between thehost processor 1914 and the crosspoint switch 2102 to provideconfiguration instructions.

FIG. 22 is a fourth view of the example communication system of FIG. 19,in accordance with at least one embodiment. In particular, FIG. 22 is aview 2200 that is similar to the view 2100 of FIG. 21, and depicts thecrosspoint switch 2102 further including a crosspoint data port 2230.The LRPM external-communication interface 1909 further includes a thirdLRPM external-communication port 2240 that is communicatively connectedto a second downstream device 2250.

In at least one embodiment, the crosspoint switch 2102 is furtherconfigured to generate a duplicate copy of the output feed 118 and passthe duplicate copy of the output feed 118 to the third LRPMexternal-communication port 2240 in parallel with passing the outputfeed 118 to the second LRPM external-communication port 1912. In atleast one embodiment, the crosspoint switch 2102 is able to beinternally dynamically mapped similar to the crosspoint switch 702 ofFIG. 7. As depicted in the view 2200, the crosspoint switch 2102duplicates the output feed 118 via a one-to-many connection from thecrosspoint data port 2122 to both the crosspoint data ports 2120 and2230. Thus, the LRPM external-communication ports 1912 and 2240 transmitthe output feed 118 and the duplicate copy of the output feed 118 to thedownstream device 106 and the downstream device 2250, respectively, inparallel (i.e., at substantially the same time).

FIG. 23 is a fifth view of the example communication system of FIG. 19,in accordance with at least one embodiment. In particular, FIG. 23 is aview 2300 that is similar to the view 2100 of FIG. 21, and furtherdepicts a memory chip 2302 residing on the first circuit board 2002. ThePLC 1906 is able to communicate with the memory chip 2302 via thecommunication link 2304 from the port 2306 on the PLC 1906. The memorychip 2302 and the port 2306 may be similar to the memory chip 502 andthe port 506 of FIG. 5.

In some embodiments, the PLC 1906 is further configured to storerespective associations on the memory chip 2302 between order numbersand ticker symbols from respective order-book updates received in theinput feed 118. The PLC 1906 may further be configured to generate theoutput feed 118 by using the respective order numbers from respectivelater-received order-book updates in the input feed to retrieve therespective ticker symbols from the respective stored associations. ThePLC 1906 may then insert the respective retrieved ticker symbols intocorresponding messages in the output feed 118. In such an embodiment,the PLC 1906 may be able to retrieve the associations from the memorychip 2302 more timely than retrieving, say, stored associations from thehost 1908 across the communication bus 1946 (in a hypotheticalembodiment (not depicted) that is architected in such a way).

As one example of a way in which the PLC 1906 may store data on andretrieve data from the memory chip 2302, the MDPD 1902 may, at a firsttime, receive an order-book update that (i) is an add-order update, (ii)pertains to a given ticker symbol, and (iii) includes a given ordernumber, and responsively operate the PLC 1906 to store an association inthe memory chip 2302 between the given order number and the given tickersymbol. The MDPD 1902 may thereafter, at a second time, receive asubsequent order-book update that includes the given order number butdoes not include the given ticker symbol (e.g., a ‘MODIFY-ORDER’ updatethat includes the order number but not the associated ticker symbol),and responsively (i) operate the PLC 1906 to use the given order numberfrom the subsequent order-book update to retrieve the given tickersymbol from the stored association in the memory chip 2302, (ii)generate, at the PLC 1906, a given output-feed message for the outputfeed that (a) pertains to the retrieved given ticker symbol and (b)conveys the subsequent order-book update, and (iii) transmit the givenoutput-feed message from the MDPD 1902 to the downstream device 106. Andcertainly numerous other examples could be listed as well. In one suchother example, the PLC 1906 is further configured to store theassociations between ticker symbols and order numbers in a portion ofthe PLC 1906 that is configured as PLC-data storage, rather than storingthe associations in the memory chip 2302. And other examplearchitectures could be listed here as well.

FIG. 24 is a sixth view of the example communication system of FIG. 19,in accordance with at least one embodiment. In particular, FIG. 24 is aview 2400 that is similar to the view 1900 of the FIG. 19 but thatfurther depicts, among other additions to the view 1900, the PLC 1906including an operational output-feed profile 2410. In at least oneembodiment, the operational output-feed profile 2410 includes adigital-logic segment 2412 corresponding to a ticker-symbol subset ofticker symbols to include in the output feed 118. The operationaloutput-feed profile 2410 may be similar to the operational output feed210 of FIG. 2. The operational output-feed profile 2410 may furtherinclude additional digital-logic segments defining a partitioningscheme, a protocol format, and/or the like. In an embodiment, the PLC1906 generates the output feed 118 based on the operational output-feedprofile 2410, similar to the generation of the output feed as describedat 1006 of FIG. 10.

In FIG. 24, the host 1908 further includes a user interface 2430communicatively coupled to the host processor 1914 via a communicationlink 2432. The user interface 2430 may be similar to the user interface404 or could instead or in addition include an MNI such as the MNI 406of FIG. 4. The host data storage 1916 further includes a management copyof the output feed profile 2420 containing (i.e., contains datadefining) a ticker-symbol subset 2422. The management copy of theoutput-feed profile 2420 may further contain a partitioning scheme, aprotocol format, and/or the like.

In the embodiment depicted by the view 2400, the input feed 116comprises a plurality of order-book updates to respective ticker symbolsin a plurality of ticker symbols. The PLC 1906 uses the ticker-symbolsubset identified in the digital-logic segment 2412 to filter down theinput feed 116 to a filtered feed of order-book updates to respectiveticker symbols in the ticker-symbol subset. The operational output-feedprofile 2410 on the PLC 1906 is based on the management copy of theoutput-feed profile 2420 stored in the host-data storage 1916.

The MDPD 1902 may further be configured to update the operationaloutput-feed profile 2410 and subsequently generate the output feed 118based on the updated output-feed profile. In one such example, the hostprocessor 1914 receives, via the user interface 2430, a revision inputfor the management copy of the output-feed profile 2420. In thisexample, the revision input alters the ticker-symbol subset (e.g., byadding or removing a ticker symbol). The revision input may similarlyupdate or add a partitioning scheme, change the output protocol, and/orthe like.

The host processor 1914 updates the management copy of the output-feedprofile 2420 based on the revision input and generates revisioninstructions for the operational output-feed profile 2410 based on therevision input. The revision input is provided to the PLC 1906 via adata connection 2434 that traverses the communication bus 1946. The PLC1906 receives the revision input and updates the operational output-feedprofile 2410 based on the revision instructions. In this example, theticker symbols stored in the digital-logic segment 2412 are updated tomatch the ticker symbols contained in the updated ticker-symbol subset2422. Thus, when the PLC 1906 thereafter continues to generate theoutput feed 118, the PLC 1906 does so in a manner that keeps updatesassociated with the updated operational output-feed profile 2410 thatincludes an updated ticker-symbol subset 2412.

In at least one embodiment, the output feed 118 includes output-feedpackets that each include one or more order-book updates, each of whichis an order-book update for a respective ticker symbol. The PLC 1906 maybe configured to insert, into each output-feed packet, a feed-levelsequence number indicating the sequential position of that output-feedpacket among all of the output-feed packets in the output feed 118. Thehost processor 1914 may further be configured to use the cached archivalcopy 1920 of the input feed 116 to provide a gap-fill service byretrieving portions of the cached archival copy 1920 of the input feed116. The retrieval may be based on the corresponding feed-level sequencenumbers of the received gap-fill request.

The communication system depicted in the view 2400 of FIG. 24 may beused with the example input and output feeds of FIGS. 16A-D used todemonstrate such an example. Here, the input feed 116 may include aplurality of order-book updates to respective ticker symbols in aplurality of ticker symbols and be represented by the input feed 1610 ofeither FIG. 16A or FIG. 16B. In this example, the PLC 1906 generates anoutput feed 118 based on an operational output-feed profile specifyingthat the output feed 118 includes updates associated with the tickersymbols ‘ABC’ and ‘MNO’. This ticker-symbol subset may be represented inthe digital-logic segment 2412 of the operational output-feed profile2410. As examples, the PLC 1906 may generate either the output feed 1620of FIG. 16C or the output feed 1624 of FIG. 16D, depending on anydefined output-feed protocol. That is, the output feed 1620 may comprisefeed-level sequence numbers and may also comprise symbol-level sequencenumbers, as disclosed above with the description of FIGS. 16C-D. Invarious different embodiments, these sequence numbers (either just thefeed-level sequence number, or both the feed-level and sequence levelsequence numbers) may be inserted into each output-feed packet.

In the above-described embodiment, the PLC 1906 generates the outputfeed 1620 having updates associated with the ticker symbols ‘ABC’ and‘MNO’, with each output-feed packet having feed-level sequence numbers.If the downstream device 106 receives the output-feed packets ‘1 ABC’and ‘3 ABC’, the downstream device 106 may transmit a gap-fill requestto the MDPD 1902 via the data network 1952 requesting the message havingthe feed-level sequence number of ‘2’. The gap-fill request may identifythe downstream device 106 and request the packets associated with themissing feed-level sequence number, here the output-feed packet for thedownstream device 106 with a feed-level sequence number of ‘2’.

The host external-communication interface 1924 may receive the gap-fillrequest and provide it to the host processor 1914 via the communicationlink 1922. The host processor 1914 may retrieve the update associatedwith the feed-level sequence number of ‘2’ for the downstream device 106from the cached archival copy 1920 of the input feed 116 from the hostdata storage 1916. The host processor 1914 may prepare a gap-fillresponse and provide the gap-fill response to the hostexternal-communication interface 1924 via the communication link 1922.The host external-communication interface 1924 may then transmit thegap-fill response to the downstream device 106 via the data network1952.

In some embodiments, retrieving the corresponding update comprisesreferencing a mapping between input-feed sequence numbers andoutput-feed (feed-level) sequence numbers (e.g., similar to the table1874 of FIG. 18D). In one such embodiment, the host processor 1914 usesthe management copy of the output-feed profile 2420 stored in host datastorage 1916 to determine the corresponding output-feed sequencenumbers. In an embodiment, the host 1908 generates these output-feedsequence numbers independent of the output-feed sequence numbersgenerated by the PLC 1906. In such an embodiment, because theoperational copy of the output-feed profile 2410 on the PLC 1906 isbased on the management copy of the output-feed profile 2420 on the host1908, which aligns in substance with the operational output-feed profile2410 on the PLC 1906, the sequence numbers generated by the PLC 1906match the sequence numbers generated at the host 1908. In otherembodiments, the host 1908 generates a mapping such as the table 1874based on information that the host 1908 receives from the PLC 1906.Examples of such embodiments are described above in connection with FIG.18E and FIG. 18F.

FIG. 25 is a flowchart of an example method, in accordance with at leastone embodiment. In particular, FIG. 25 depicts an example method 2500that may be carried out by an MDPD; indeed, the MDPD 1902 that isdepicted in the view 1900 of FIG. 19 is described below by way ofexample and not limitation as carrying out the method 2500.

At step 2502, the LRPM 1904 receives the input feed 116 (via the LRPMexternal-communication port 1910) from the upstream device 102. Theinput feed 116 is then provided to the LRPM 1904 having the PLC 1906. Atstep 2504, the LRPM 1904 (and in particular the PLC 1906) generates theoutput feed 118 based on the input feed 116. At step 2506, the LRPM 1906transmits the output feed 118 (via the LRPM external-communicationinterface port 1912) to the downstream device 106. At step 2508, theLRPM 1904 transmits the archival copy 1920 of the input feed 116 to thehost processor 1914 on the host 1908 via the communication bus 1946. At2510, the host 1908 caches the archival copy 1920 of the input feed 116in the host data storage 1916. At 2512, the host processor 1914 uses thecached archival copy 1920 of the input feed 116 to provide (via the hostexternal-communication interface 1924 and the data network 1952) agap-fill service (with respect to the output feed 118) to the downstreamdevice 106.

In various different embodiments, the method 2500 is carried out inmanners that are consistent with the architectures depicted in any ofthe views 1900-2400 of the FIGS. 19-24, respectively. For example, themethod 2500 may be adapted to having components of the LRPM 1904 (e.g.,the PLC 1906) on the first circuit board 2002 and components of the host1908 (e.g., the host processor 1914) on the second circuit board 2004 asdepicted in the view 2000, the crosspoint switch 2102 residing on thefirst circuit board 2002 as depicted in the view 2100, the crosspointswitch 2102 duplicating the output feed 118 and providing the duplicatedcopy of the output feed to the downstream device 2250 in parallel withproviding the output feed 118 to the downstream device 106 as depictedin the view 2200, the functions of the memory chip 2302 of the view2300, and the use of output-feed profiles discussed in conjunction withthe view 2400, as a few non-limiting examples. Further, functionsdisclosed in conjunction with the MDPD 104 may further be incorporatedto the method 2500; that is, any of the various embodiments discussed inconnection with the MDPD 104 could be carried out by the MDPD 1902, andvice versa. The same applies with respect to the below-described MDPD2602 and any other MDPDs discussed herein.

FIG. 26 is a view of an example communication system that includes anexample upstream device, a third example MDPD, and an example downstreamdevice, in accordance with at least one embodiment. In particular, FIG.26 depicts a view 2600 that includes the upstream device 102, thedownstream device 106, and an MDPD 2602. The MDPD 2602 includes a firstexternal data port 2610, a PLC 2604, a second external data port 2611,and a communication bus 2614 connecting the PLC 2604 (e.g., an FPGA) toa host 2606. The host 2606 includes a host processor 2608 connected to(i) host data storage 2610 via a communication link 2622 and (ii) a NIC2612 via a communication link 2624. The NIC 2612 is in turn connectedwith a data network 2652. In at least one embodiment, the MDPD 2602operates similar to the MDPD 102 and the MDPD 1902, in that the MDPD2602 receives the input feed 116 from the upstream device 102 andprovides the output feed 118 to the downstream device 106.

In at least one embodiment, the first external data port 2610 isconfigured to receive, from the upstream device 102, an input feed 116of order-book updates to respective ticker symbols in a plurality ofticker symbols. The second external data port 2611 is configured totransmit, from the PLC 2604, an output feed 118 to the downstream device106. The external data ports 2610 and 2611 may be similar in function tothe LRPM external-communication ports 1910 and 1912 of FIG. 19. The PLC2604 may be configured to receive the input feed 116 and generate both(i) a market-data output feed (e.g., the output feed 118) and (ii) anarchival copy 2620 of the input feed 116. Generating the archival copy2620 of the input feed 116 may be similar to generating the archivalcopy 1920 of the input feed 116 of FIG. 19. As mentioned above, theoutput feed 118 is provided to the second external data port 2611 fortransmission to the downstream device 106.

The host 2606 may be communicatively coupled to (i) the PLC 2604 via thecommunication bus 2614 and (ii) the downstream device 106 via the NIC2612 and the data network 2652. The host 2606 may be configured toreceive and cache the archival copy 2620 of the input feed 116 (e.g.,the host processor 2608 receives the archival copy 2620 of the inputfeed 116 and provides input-feed cache data to the host data storage2610 via the communication link 2622). The host 2606, responsive toreceiving a gap-fill request from the downstream device 106, may furtherbe configured to (i) generate a gap-fill response to the gap-fillrequest from the cached archival copy 2620 of the input feed 116 and(ii) transmit the generated gap-fill response via the NIC 2612 to thedownstream device 106.

In one embodiment, the MDPD 2602 further includes a first circuit board(not depicted) on which the PLC 2604 resides and a second circuit board(not depicted) on which the host 2606 resides, similar to the MDPD 1902depicted in the view 2000 of FIG. 20 having the PLC 1906 residing on thefirst circuit board 2002 and the host processor 1914 residing on thesecond circuit board 2004. The PLC 2604 may be communicatively connectedto the host 2606 via the communication bus 2614.

In at least one embodiment, the MDPD 2602 further comprises a crosspointswitch (not depicted) configured to (i) pass the input feed 116 from thefirst external data port 2610 to the PLC 2604 and (ii) pass the outputfeed 118 from the PLC 2604 to the second external data port 2611. Thecrosspoint switch may reside on the first circuit board with the PLC2604 (e.g., similar to the crosspoint switch 2102 residing on the firstcircuit board 2002 as depicted in the view 2100 of the MDPD 1902) and besimilar in function to the crosspoint switch 702 of FIG. 7. In someembodiments, the crosspoint switch in the MDPD 2602 is configured togenerate a duplicate copy of the output feed (see e.g., crosspointswitch 2102 of the view 2200) and pass the duplicate copy of the outputfeed to a third external data port in parallel with passing the outputfeed 118 to the second external data port 2611.

In at least one embodiment, the input feed 116 includes a plurality oforder-book updates to respective ticker symbols in the plurality ofticker symbols. The PLC 2604 may further be configured to maintain anoperational output-feed profile that specifies a ticker-symbol subsetthat identifies one or more ticker symbols from among the plurality ofticker symbols. The PLC 2604 may generate the output feed 118 based onthe input feed 116 at least in part by filtering the input feed 116 downto a filtered feed of the order-book updates to respective tickersymbols in the ticker-symbol subset (see, e.g., the MDPD 1902 of theview 2400 generating an output feed based on output-feed profiles).

In one embodiment, the MDPD 2602 is further configured to maintain acurrent local list of active orders for each ticker symbol in theplurality of ticker symbols based on the archival copy 2620 of the inputfeed 116. Responsive to receiving, from the downstream device 106, alate-join request for a particular ticker symbol, the host 2606 maygenerate a late-join response from the current local list of activeorders for the particular ticker symbol. The late-join response may betransmitted via the NIC 2612, via the data network 2652, to thedownstream device 106. And other example implementations could be listedhere as well.

Examples Involving Generating, Transmitting, and Arbitrating AmongMultiple Market-Data Feeds

Generating and Transmitting Multiple Market-Data Feeds Via RespectiveSeparate and Distinct Communication Paths

FIG. 27 is a first view of an example communication system that includesan example upstream device, an example MDPD, an example arbitrationdevice, and an example downstream device, in accordance with at leastone embodiment. In particular, FIG. 27 depicts a view 2700 that includesan upstream device 2702, a MDPD 2704 having an output-feed profile 2710,an arbitration device 2708, and a downstream device 2706. The view 2700is similar to the view 100 of FIG. 1. For example, the upstream device2702 is similar to the upstream device 102, the MDPD 2704 is similar tothe MDPD 104, the downstream device 2706 is similar to the downstreamdevice 106, the input feed 2716 is similar to the input feed 116, theoutput-feed profile 2710 is similar to the output-feed profile 110, andthe first market-data feed 2718A and second market-data feed 2718B mayeach be similar—in structure if not in substance—to the output feed 118.

As described, in at least one embodiment, the MDPD 2704 generates thefirst market-data feed 2718A and the second market-data feed 2718B. Thefirst market-data feed 2718A may be generated at least in part byfiltering the received input feed 2716 down to a filtered feed oforder-book updates by keeping only order-book updates to the respectiveticker symbols in a ticker-symbol subset defined in the output-feedprofile 2710. Generating the first market-data feed 2718A may furtherinclude inserting an output-feed (e.g., feed-level and perhaps alsosymbol-level) sequence number into each order-book update in the firstmarket-data feed 2718A. The generation of the first market-data feed2718A may be similar to the herein-described generation of the outputfeed 118. In at least one embodiment, the MDPD 2704 also generates thesecond market-data feed 2718B, which includes (perhaps among otherorder-book updates) the order-book updates of the first market data feed2718A having the same respective sequence numbers inserted into the samerespective order-book updates as in the first market-data feed 2718A.

In at least one embodiment, the MDPD 2704 transmits the firstmarket-data feed 2718A via a first communication path 2731 to thearbitration device 2708, and transmits the second market-data feed 2718Bvia a second communication path 2732 to the arbitration device 2708. Thesecond communication path 2732 is separate and distinct from the firstcommunication path 2731. Examples of the first communication path 2731and the second communication path 2732 are presented below in connectionwith at least FIG. 33. As described below, in at least one embodiment,the arbitration device 2708 conducts sequence-number-based arbitrationbetween the first market-data feed 2718A and the second market-data feed2718B. In some embodiments, this arbitration process results in thearbitration device 2708 outputting a post-arbitration feed 2720 to thedownstream device 2706.

It is noted that, in some described embodiments, the post-arbitrationfeed 2720 is referred to as the “post-arbitration first feed 2720”—i.e.,a post-arbitration version of the first market-data feed 2718A; in suchembodiments, the first market-data feed 2718A is referred to as the“pre-arbitration first feed 2718A” Such embodiments are described interms of an arbitration device (or equivalently an arbitration module ofa downstream device-see FIG. 28 and its below description) using one ormore supplemental market-data feeds (of which the second market-datafeed 2718B is but one example) to patch any detected gaps in thepre-arbitration first feed 2718A as part of generating thepost-arbitration first feed 2720.

FIG. 28 is a view of an example communication system that includes anexample upstream device, an example MDPD, and an example downstreamdevice that itself includes an arbitration module and a feed-processingmodule, in accordance with at least one embodiment. In particular, FIG.28 depicts a view 2800 that is similar to the view 2700 other than that,instead of the separate arbitration device 2708 and downstream device2706 of FIG. 27, FIG. 28 includes a downstream device 2806 that itselfincludes an arbitration module 2808 and a feed-processing module 2810.In substance, the arbitration module 2808 may perform functions similarto those described herein with respect to the arbitration device 2708,and the feed-processing module 2810 may perform functions similar tothose described herein with respect to a downstream device such as thedownstream device 2706. Indeed, it should be understood that anyembodiment that is depicted and described herein as involving a separatearbitration device 2708 and downstream device 2706 could instead beimplemented in a way that involves a downstream device 2806 thatincludes the arbitration module 2808 and a feed-processing module 2810.

FIG. 29 is a flowchart of an example method, in accordance with at leastone embodiment. In particular, FIG. 29 depicts a method 2900 that isdescribed below by way of example as being carried out by the MDPD 2704.

At step 2902, the MDPD 2704 receives the input feed 2716 from theupstream device 2702.

At step 2904, the MDPD 2704 generates the first market-data feed 2718Aat least in part by (i) filtering the received input feed 2716 down to afiltered feed of order-book updates by keeping only order-book updatesto the respective ticker symbols in a ticker-symbol subset that isdefined in the output-feed profile 2710 and (ii) inserting a sequencenumber into each order-book update in the first market-data feed 2718A.

At step 2906, the MDPD 2704 generates the second market-data feed 2718B,which includes, perhaps among other order-book updates, the order-bookupdates of the first market-data feed 2718A having the same respectivesequence numbers inserted into the same respective order-book updates.

With respect to both steps 2904 and 2906, the sequence numbers could befeed-level sequence numbers, symbol-level sequence numbers, and/orpartition-level sequence numbers. In at least one embodiment, thesequence numbers include both feed-level and symbol-level sequencenumbers.

At step 2908, the MDPD 2704 transmits the first market-data feed 2718Avia the first communication path 2731 to the arbitration device 2708. Anexample first communication path 2731 is depicted in and discussed belowin connection with FIG. 33. The first communication path 2731 mayinclude one or more wireless (e.g., point-to-point microwave)communication links.

At step 2910, the MDPD 2704 transmits the second market-data feed 2718Bvia the second communication path 2732, separate and distinct from thefirst communication path 2731, to the arbitration device 2708 for use bythe arbitration device 2708 in conducting sequence-number-basedarbitration between the first market-data feed 2718A and the secondmarket-data feed 2718B. An example second communication path 2732 isalso depicted in and discussed below in connection with FIG. 33.

The second communication path 2732 may include one or more fiber-opticcommunication links. Moreover, it may be the case that (i) at least athreshold portion (e.g., 80%) of a geographical footprint of the firstcommunication path 2731 consists of one or more point-to-point microwavecommunication links and (ii) at least the threshold portion of ageographical footprint of the second communication path 2732 consists ofone or more fiber-optic communication links.

The second market-data feed 2718B could be a copy of the firstmarket-data feed 2718A, perhaps also generated by the PLC at the MDPD2704 as depicted in and described below in connection with FIG. 30B, orperhaps generated at the MDPD 2704 by a crosspoint switch as depicted inand described below in connection with FIG. 32. The second market-datafeed 2718B could instead be a superset of the first market-data feed2718A. For example, the second market-data feed 2718B could be a fullcopy of the input feed 2716, among many other possibilities that couldbe listed here. In embodiments in which the second market-data feed2718B is a superset of the first market-data feed 2718A, theaforementioned include symbol-level sequence numbers (since feed-levelsequence numbers would not match up between the first and secondmarket-data feeds 2718A and 2718B). Moreover, in such embodiments, thePLC of the MDPD 2704 may separately generate the first market-data feed2718A and the second market-data feed 2718B from the input feed 2716, asdepicted in and described below in connection with FIG. 31.

In some embodiments, the MDPD 2704 transmits (i) a duplicate of eachorder-book update in the first market-data feed 2718A via the firstcommunication path 2731 a first time delay after first transmitting thefirst instance of the corresponding order-book update in the firstmarket-data feed 2718A and (ii) transmits a duplicate of each order-bookupdate in the second market-data feed 2718B via the second communicationpath 2732 a second time delay after first transmitting the firstinstance of the corresponding order-book update in the secondmarket-data feed 2718B. In at least one such embodiment, the first andsecond time delays are equal to one another, perhaps equaling or atleast being on the order of 50 μs. In at least one other suchembodiment, the first and second time delays are not equal to oneanother. In at least one embodiment, the first time delay is selectedbased on an average outage duration of the first communication path2731. In at least one such embodiment, the method includes (i) measuringthe average outage duration of the first communication path 2731 and(ii) selecting the first time delay to be greater than that measuredaverage outage duration.

FIG. 30A is a second view of the example communication system of FIG.27, in accordance with at least one embodiment. In particular, FIG. 30Adepicts a view 3000 in which the MDPD 2706 includes a communicationmodule 3002 and a feed-generation module 3004. In at least oneembodiment, the communication module 3002 is configured to carry outsteps 2902, 2908, and 2910 of the method 2900, and the feed-generationmodule 3004 is configured to carry out steps 2904, 2906 and 2908 of themethod 2900.

FIG. 30B is a third view of the example communication system of FIG. 27,in accordance with at least one embodiment. In particular, FIG. 30Bdepicts a view 3050 in which the MDPD 2704 includes external data ports3052, 3054A, and 3054B, as well as a PLC 3056 that includes anoperational output-feed profile 3060. The view 3050 depicts anembodiment in which the second market-data feed 2718B is a copy of thefirst market-data feed 2718A, in that both are produced by the PLC 3056using the same operational output-feed profile 3060.

FIG. 31 is a fourth view of the example communication system of FIG. 27,in accordance with at least one embodiment. In particular, FIG. 31depicts a view 3100 that is similar to the view 3050 of FIG. 30B but,among other differences, further includes a crosspoint switch 3102,which is depicted as having six crosspoint data ports 3116, 3118, 3120,3122, 3124, and 3126. The crosspoint switch 3102 and its associatedcrosspoint data ports are similar to the crosspoint switch 302 and itsassociated crosspoint data ports. As depicted in the view 3100, the PLC3056 comprises multiple output-feed profiles 3060A and 3060B. The PLC3056 generates the market-data feeds 2718A and 2718B, in accordance withthose respective output-feed profiles 3060A and 3060B. Also depicted inFIG. 31 are PLC data ports 3128, 3130, and 3132.

FIG. 32 is a fifth view of the example communication system of FIG. 27,in accordance with at least one embodiment. In particular, FIG. 32depicts a view 3200 that is similar to the view 3100. However, in theview 3200, rather than the PLC 3056 generating both the first (2718A)and second (2718B) market-data feeds, the PLC 3056 generates the firstmarket-data feed 2718A based on the output-feed profile 3060A, and thecrosspoint switch 3102 then receives a single copy of the firstmarket-data feed 2718A, which the crosspoint switch 3102 duplicates togenerate the second market-data feed 2718B.

FIG. 33 is a sixth view of the example communication system of FIG. 27,in accordance with at least one embodiment. In particular, FIG. 33depicts a view 3300 that is similar to the view 3050 of FIG. 30B, thoughthe view 3300 includes less detail in some respects and more detail inothers. The view 3300 includes less detail with respect to the innerworkings of the MDPD 2704, showing only (i) the receipt by the MDPD 2704(via the external data port 3052) of the input feed 2716 from theupstream device 2702, (ii) the transmitting by the MDPD 2704 (via theexternal data port 3054A) of the first market-data feed 2718A via thefirst communication path 2731, and (iii) the transmitting by the MDPD2704 (via the external data port 3054B) of the second market-data feed2718B via the second communication path 2732. As described below, theview 3300 includes more detail with respect to possible forms andtechnologies that could be included in one or both of the firstcommunication path 2731 and the second communication path 2732.

In the embodiment that is depicted in FIG. 33, the first communicationpath 2731 includes a segment 3301, which itself includes a firsttransceiver station 3304, a second transceiver station 3306, and a thirdtransceiver station 3308. Also depicted are (i) a wireless-communicationlink 3310 between the first transceiver station 3304 and the secondtransceiver station 3306 and (ii) a wireless-communication link 3312between the second transceiver station 3306 and the third transceiverstation 3308. In various different embodiments, there could be anynumber of transceiver stations and any number of wireless-communicationlinks. Moreover, the transceiver stations and wireless-communicationlinks could make use of any suitable wireless-communication technology,one example being point-to-point microwave communication. Also,different wireless-communication links on a single communication pathcould use different wireless-communication technologies. And there couldbe one or more wired-communication links in the same communication pathas one or more wireless-communication links. And certainly other exampleimplementations could be listed here.

In the embodiment that is depicted in FIG. 33, the second communicationpath 2732 includes a segment 3302, which itself includes a firstterminal device 3320, a fiber-optic link 3322, and a second terminaldevice 3324. The first terminal device 3320 and the second terminaldevice 3324 could take the form of any suitable routers, bridges, orother communication devices suitable for residence on and participationin the second communication path 2732. The fiber-optic link 3322 couldbe a single fiber-optic connection or could include multiple fiber-opticconnections and suitable intermediate communication devices, as is knownin the art. In various different embodiments, the second communicationpath 2732 could include one or more additional wired-communication linksof any suitable type and/or one or more wireless-communication links ofany suitable type. And certainly other example implementations could belisted here as well.

Geographically, the disclosed devices in any given embodiment can belocated in any terrestrial locations—or extraterrestrial locations,should such an implementation be desired—that are suitable for a givenimplementation. The first communication path 2731 and the secondcommunication path 2732 could span less than a mile, in the singledigits of miles, in the hundreds of miles, in the thousands of miles, orany other distance, depending on the needs of a particular context.Moreover, while the endpoints of the first communication path 2731 andthe second communication path 2732 are clearly the same (only in thatthey both span between the MDPD 2704 and the arbitration device 2708),there is no requirement whatsoever that these communication paths haveidentical, similar, or even overlapping geographical footprints. Suchdecisions are within the discretion of those of skill in the art.

In one example point-to-point microwave communication link, a microwavetransmitter transmits a beam of radio waves in the microwave frequencyrange to a microwave receiver using a parabolic or dish-type antenna.The microwave transmitter is oriented in a direction of the microwavereceiver and is highly directional. The microwave transmissions span theatmosphere between the transmitter and receiver; as such, the signalpath is susceptible to blockage and interference by, as examples,weather, passing animals, and the like. Example point-to-point microwavecommunication links are provided by NEC, Ericsson, Nokia, and the like.

In at least one embodiment, the second communication path 2732 includesone or more fiber-optic communication links. The one or more fiber-opticcommunication links may be any type of fiber-optic communication linksincluding single-mode, multi-mode, bi-directional, glass or plasticfiber-optic cables, and/or the like.

In at least one embodiment, an MDPD includes a communication interface,a processor, and data storage containing instructions executable by theprocessor for causing the MDPD to carry the method 2900. Such anembodiment may be realized by the example communication system depictedin the view 3050 of FIG. 30B. For example, the communication interfacemay be realized by or at least include the external data ports 3052,3054A, and 3054B. The PLC 3056 may further represent both (i) theprocessor configured to perform the method 2900 and (ii) the datastorage containing the executable instructions for doing so. And otherexample implementations could be presented here as well.

Arbitrating Among Multiple Market-Data Feeds

FIG. 34 is a flowchart of an example method, in accordance with at leastone embodiment. In particular, FIG. 34 depicts a method 3400 that may becarried out by an arbitration device or by an arbitration module of adownstream device, among other possibilities. For simplicity, the method3400 is for the most part described below as being carried out by thearbitration device 2708, though some aspects would be different inembodiments in which the method 3400 is carried out by an arbitrationmodule of a downstream device. The basic difference is that, inembodiments in which the method 3400 is carried out by the arbitrationdevice 2708, the “market-data processor” that is introduced in step 3408refers to the downstream device 2706, whereas in embodiments in whichthe method 3400 is carried out by the arbitration module 2808 of thedownstream device 2806, the “market-data processor” that is introducedin step 3408 refers to the feed-processing module 2810 of the downstreamdevice 2806.

At step 3402, the arbitration device 2708 receives the pre-arbitrationfirst market-data feed 2718A from the MDPD 2704 via the firstcommunication path 2731. As explained above, the pre-arbitration firstmarket-data feed 2718A is a feed of order-book updates to respectiveticker symbols in a plurality of ticker symbols, and each order-bookupdate in the pre-arbitration first market-data feed 2718A includes arespective sequence number.

At step 3404, the arbitration device 2708 receives, from the MDPD 2704,one or more supplemental market-data feeds of order-book updates torespective ticker symbols in the plurality of ticker symbols. Eachorder-book update in each supplemental market-data feed also includes arespective sequence number. Moreover, order-book updates having the samesequence numbers in both the pre-arbitration first market-data feed2718A and a supplemental market-data feed represent the same updates tothe same ticker symbols. Additionally, receiving the aforementioned oneor more supplemental market-data feeds includes receiving the secondmarket-data feed 2718B via the second communication path 2732.

As stated above, in embodiments in which the second market-data feed2718B is transmitted by the MDPD 2704 as a copy of the pre-arbitrationfirst market-data feed 2718A, the sequence numbers referred to in thisdescription of the method 3400 could be either feed-level sequencenumbers or symbol-level sequence numbers; that is, the herein-describedarbitration could be done globally (with respect to the pre-arbitrationfirst market-data feed 2718A) based on feed-level sequence numbers or itcould be done on a symbol-by-symbol basis using symbol-level sequencenumbers. Partition-level sequence numbers are contemplated as well.

In embodiments in which the second market-data feed 2718B is a supersetof the pre-arbitration first market-data feed 2718A, however,arbitration based on feed-level sequence numbers would not work becausethe feed-level sequence numbers in the two feeds would not match up(e.g., the 500th overall order-book update in the pre-arbitration firstmarket-data feed 2718A would not necessarily be the same substantiveupdate to the same ticker symbol as the 500th overall order-book updatein the second market-data feed 2718B, except for the circumstance inwhich the first 500 order-book updates in the second market-data feed2718B were also included in the pre-arbitration first market-data feed2718A); in those embodiments (in which the second market-data feed 2718Bis a superset of the pre-arbitration first market-data feed 2718A),therefore, the arbitration would typically be conducted on asymbol-by-symbol basis, and the referenced sequence numbers wouldtherefore be symbol-level sequence numbers.

In some embodiments, the arbitration device 2708 carrying out step 3404(i.e., receiving the one or more supplemental market-data feeds from theMDPD 2704) involves the arbitration device 2708 receiving either or bothof (i) a time-delayed duplicate of the pre-arbitration first market-datafeed 2718A via the first communication path 2731 and (ii) a time-delayedduplicate of the second market-data feed 2718B via the secondcommunication path 2732.

As another possibility, in some embodiments, the arbitration device 2708receiving the one or more supplemental market-data feeds from the MDPD2704 involves the arbitration device 2708 receiving one or more gap-fillresponses (each containing one or more respective order-book updates)from the MDPD 2704.

In at least one embodiment, the arbitration device 2708 arbitrates amongorder-book updates in a manner that is agnostic as to whether thearbitration device 2708 receives those order-book updates in thepre-arbitration first market-data feed 2718A, in a time-delayedduplicate of the pre-arbitration first market-data feed 2718A, in thesecond market-data feed 2718B, in a time-delayed duplicate of the secondmarket-data feed 2718B, as part of a gap-fill response, or as part ofsome other market-data feed not explicitly mentioned here.

At step 3406, the arbitration device 2708 generates the post-arbitrationfirst market-data feed 2720. In at least one embodiment, carrying outstep 3406 involves carrying out three substeps. And it is explicitlynoted that, in at least one embodiment, the arbitration device 2708carries out these three substeps substantially simultaneously withrespect to different order-book updates—i.e., different order-bookupdates can be in different stages of the herein-described processing atsubstantially the same time; indeed, this is true of the steps of themethod 3400 as a whole, as well as of the other methods described inthis disclosure.

Returning now to the aforementioned three substeps (i.e., subprocesses)of step 3406, the first such substep is the arbitration device 2708including, in the post-arbitration first market-data feed 2720, all ofthe order-book updates that the arbitration device 2708 receives incarrying out step 3402 (i.e., in the pre-arbitration first market-datafeed 2708). The second such substep is the arbitration device 2708identifying gaps of one or more order-book updates missing from thepre-arbitration first market-data feed 2718A. The third such substep isthe arbitration device patching, in the post-arbitration firstmarket-data feed 2720, one or more of the gaps identified as missingfrom the pre-arbitration first market-data feed 2718A with one or morematching-sequence-numbered order-book updates received in carrying outstep 3404 (i.e., in at least one of the supplemental market-data feeds).

Thus, building on the above description of step 3406, it can be seenthat, in at least one embodiment, the pre-arbitration first market-datafeed 2718A is the primary feed that the downstream device 2706 islooking to successfully receive from the MDPD 2704; as such, in caseswhere nothing ever goes wrong with the delivery of any order-bookupdates in the pre-arbitration first market-data feed 2718A, none of theone or more supplemental market-data feeds are ever needed; but in caseswhere one or more order-book updates in the pre-arbitration firstmarket-data feed 2718A are not successfully received by the arbitrationdevice 2708 and passed on to the downstream device 2706, the arbitrationdevice 2708 uses the one or more supplemental market-data feeds (e.g.,the second market-data feed 2718B, a time-delayed duplicate of thepre-arbitration first market-data feed 2718A, a time-delayed duplicateof the second market-data feed 2718B, and/or one or more gap-fillresponses) to patch detected gaps in the pre-arbitration firstmarket-data feed 2718A. Moreover, in at least one embodiment, at leastone of the supplemental-market-data feeds is received by the arbitrationdevice 2708 from somewhere other than the MDPD 2704.

At step 3408, the arbitration device 2708 outputs the post-arbitrationfirst market-data feed to a market-data processor; in this describedembodiment, that market-data processor is the downstream device 2706. Inother embodiments in which the method 3400 is carried out by thearbitration module 2808 of the downstream device 2806, the market-dataprocessor is the feed-generation module 2810. And certainly otherexample architectures could be described here.

In at least one embodiment, the arbitration device 2708—perhaps as partof the patching substep of step 3406—sends one or more gap-fill requeststo the MDPD 2704, where those one or more gap-fill requests are directedto one or more gaps identified as missing from the pre-arbitration firstmarket-data feed 2718A. In various different embodiments, thearbitration device 2708 may send such gap-fill requests to the MDPD 2704along one or more of the first communication path 2731, the secondcommunication path 2732, and a third communication path that is separateand distinct from both the first communication path 2731 and the secondcommunication path 2732. And as described above, among the one or moresupplemental market-data feeds—that the arbitration device 2708 (i)receives at step 3404 and (ii) draw from for the patching substep ofstep 3406—may be a feed of gap-fill responses from the MDPD 2704. Likethe gap-fill requests, these gap-fill responses may be sent along one ormore of the first communication path 2731, the second communication path2732, and a third communication path that is separate and distinct fromboth the first communication path 2731 and the second communication path2732. One example third communication path is depicted in and describedbelow in connection with FIG. 35.

FIG. 35 is a seventh view of the example communication system of FIG.27, in accordance with at least one embodiment. In particular, FIG. 35depicts a view 3500 that has a number of elements in common with anumber of previous figures. Among these elements are (i) the MDPD 2704receiving (via the external data port 3052) the input feed 2716 from theupstream device 2702; (ii) the MDPD 2704 using the PLC 3056 to generateboth the pre-arbitration first market-data feed 2718A and the secondmarket-data feed 2718B; (iii) the MDPD 2704 transmitting thepre-arbitration first market-data feed 2718A (via the external data port3054A) to the arbitration device 2708 via the first communication path2731; (iv) the MDPD 2704 transmitting the second market-data feed 2718B(via the external data port 3054B) to the arbitration device 2708 viathe second communication path 2732; and (v) the arbitration device 2708generating—and outputting to the downstream device 2706—thepost-arbitration first market-data feed 2720.

The view 3500 also depicts the MDPD 2704 as including a host 3506 thatincludes a host processor 3508 and host data storage 3510. The host 3506is connected via a data connection 3524 to a NIC 3512. The PLC 3056 isdepicted as generating an archival copy 3520 of the input feed 2716, andtransmitting that archival copy 3520 of the input feed 2716 to the hostprocessor via a communications bus 3514. The host processor 3508archives the archival copy 3520 of the input feed 2716 in the host datastorage 3510, which the host processor accesses via a data connection3522.

Also depicted in the view 3500 is a data network 3552 that may besimilar to any one or more of the above-described data networks 352,1952, and 2652. In at least one example arrangement, as depicted in theview 3500, the devices having their own respective connections to thedata network 3552 include the upstream device 2702, the MDPD 2704 (viathe NIC 3512), the downstream device 2706, and the arbitration device2708. In various different embodiments, one or more of those devicesmight not have a connection to the data network 3552; for example, inone embodiment, the arbitration device 2708 has a connection to the datanetwork 3552 but the downstream device 2706 does not. And certainlyother examples could be listed here as well.

Furthermore, as is explained above, the depiction of, e.g., thearbitration device 2708's connection via the data network 3552 to theNIC 3512 of the MDPD 2704 passing through the downstream device 2706 isfor convenience only; it is not at all a requirement that suchconnection pass through the downstream device 2706; the intention isonly to show that all three devices (the MDPD 2704, the downstreamdevice 2706, and the arbitration device 2708 (and in this case also theupstream device 2702)) have connections to a common data network, whichin this particular instance is the data network 3552.

In at least one embodiment, the above-mentioned third communicationpath—via which the arbitration device 2708 (i) sends gap-fill requeststo the MDPD 2704 and (ii) receives gap-fill responses from the MDPD2704—includes the data network 3552 to which the MDPD 2704 is connectedvia the NIC 3512. In at least one embodiment, as depicted in FIG. 35,the MDPD 2704 operates according to division-of-labor principles similarto those described above in connection with at least FIGS. 19-26.

As described above, in at least one embodiment, the arbitration device2708 identifies any gaps missing from the pre-arbitration firstmarket-data feed 2718A and—to the extent possible based on the contentof the one or more received supplemental market-data feeds—attempts topatch all such gaps as part of generating the post-arbitration firstmarket-data feed 2720, which the arbitration device 2708 outputs to thedownstream device 2706 at step 3408.

It may occur in some instances that completely patching all such gapsdoes not happen; in at least one such instance, the market-dataprocessor (e.g., the downstream device 2706) attempts to address thissituation by (i) identifying one or more of the unpatched gaps in thepost-arbitration first market-data feed 2720; (ii) transmitting, to theupstream device 2708, one or more market-data-processor-initiatedgap-fill requests directed to the identified one or more unpatched gapsin the post-arbitration first market-data feed 2720; (iii) receiving,from the upstream device 2708, one or moremarket-data-processor-terminated gap-fill responses that include the oneor more order-book updates that correspond to the transmitted one ormore market-data-processor-initiated gap-fill requests; and (iv)supplementing the post-arbitration first market-data feed with the oneor more order-book updates included in the received one or moremarket-data-processor-terminated gap-fill responses.

Irrespective of whether the arbitration device 2708 is successful incompletely patching all identified gaps in the pre-arbitration firstmarket-data feed 2718A as part of generating the post-arbitration firstmarket-data feed 2720 at step 3406, it is the case in at least oneembodiment that the arbitration device 2708 attempts to do so at leastin part by carrying out an arbitration process among all receivedorder-book updates in a manner that, for each received order-bookupdate, is agnostic as to whether that order-book update was received bythe arbitration device 2708 in the pre-arbitration first market-datafeed 2718A or in a supplemental market-data feed. An example of such anupdate-feed-of-origin-agnostic process is depicted in and describedbelow in connection with FIG. 36.

In a practical sense, in implementations in which the arrangement of thefirst communication path 2731 and the respective arrangements of thevarious delivery paths of each of the supplemental market-data feeds(such as the second communication path 2732, TCP/IP gap-fillcommunication over the data network 3552, and/or the like) make itlikely that each of the supplemental market-data feeds will lag thepre-arbitration first market-data feed 2718A, being agnostic as to thefeed in which each order-book update arrives when building thepost-arbitration first market-data feed 2720 may take the effective formof identifying gaps in the pre-arbitration first market-data feed 2718Aand patching (or at least attempting to patch) those gaps withorder-book updates received among the supplemental market-data feeds.

FIG. 36 is a flowchart of an example implementation of one of the stepsof the example method of FIG. 34, in accordance with at least oneembodiment. In particular, FIG. 36 depicts an order-book-updatedisposition process 3600 that may be carried out by the arbitrationdevice 2708 as part of carrying out the above-described step 3406 of themethod 3400. As can be seen in FIG. 36, the process 3600 begins at step3602, where the process 3600 polls or waits for the next order-bookupdate (again, regardless of in which market-data feed that nextorder-book update may arrive or have arrived at the arbitration device2708). Step 3602 serves as a sort of home base for the process 3600, inthat the process starts at step 3602 and always returns to step 3602(unless the process 3600 is terminated, a possibility that is outsidethe scope of FIG. 36) via one of three order-book-update dispositionpaths: a silent-discard path 3631, a send-update path 3632, or asave-update path 3633. These three paths correspond with the threepossible dispositions of each order-book update by the process3600—i.e., each received order-book update is silently discarded, sent(i.e., output) in the post-arbitration first market-data feed 2720, orsaved (i.e., buffered) for later sending in the post-arbitration firstmarket-data feed 2720.

Prior to describing the logical flow of the process 3600, and prior topresenting specific examples of order-book updates traversing thatlogical flow, a few programming constructs that the process 3600maintains in at least one embodiment are introduced here.

First, the process 3600 maintains a record in data storage of thelast-output sequence number of each successive order-book update that isoutput in the post-arbitration first market-data feed 2720 to themarket-data processor, which in this example description is thedownstream device 2706. Thus, as described below, each time the process3600 outputs one or more order-book updates in the post-arbitrationfirst market-data feed 2720, the process 3600 updates thatrecord-referred to herein as ‘lastSent’—to be equal to the highestsequence number of an order-book update that has been output (thus far)in the post-arbitration first market-data feed 2720.

Second, the process 3600 maintains in data storage an initially emptymissing-order-book-update list of sequence numbers that correspondrespectively with any missing order-book updates. In general, theprocess 3600 considers a given order-book update to be missing if theprocess 3600 has received at least one order-book update having asequence number higher than that of the given order-book update but hasnot yet received the given order-book update. In this description, themissing-order-book-update list is referred to as ‘the missingList’.

Third, the process 3600 maintains in data storage an initially emptybuffered-order-book-update list of sequence numbers that correspondrespectively with any buffered order-book updates. In this description,the buffered-order-book-update list is referred to simply as ‘thebuffer’. As a general matter, the process 3600 adds a given order-bookupdate to the buffer when the process 3600 has received the givenorder-book update but the given order-book update has a sequence numberthat is higher than at least one sequence number on the missingList.

One additional convention that is used in this description of theprocess 3600 is that, in each instance of a given order-book updatebeing received (and therefore causing a transition in the process 3600from step 3602 to step 3604), that given order-book update is referredto as ‘the current order-book update’ and the sequence number of thatgiven order-book update is referred to as ‘the current sequence number’.Moreover, the current sequence number is represented by ‘X’ in FIG. 36.As a reminder, the process 3600 is agnostic to whether the currentorder-book update was received by the arbitration device in thepre-arbitration first market-data feed 2718A or in a supplementalmarket-data feed.

Assuming now that a current order-book update has been received at step3602, the process 3600 checks at step 3604 whether the current sequencenumber is less than or equal to lastSent. If so, this means that anorder-book update that is substantively equivalent to—i.e., having asequence number that matched that of—the current order-book update hasalready been sent (i.e., output in the post-arbitration firstmarket-data feed 2720), and the process 3600 therefore silently discardsthe current order-book update—an action (or perhaps more accurately alack of action) that is referred to hereinafter as returning to the step3602 on the silent-discard path 3631.

If it is determined at step 3604, however, that the current sequencenumber is greater than lastSent, this means that the current order-bookupdate is one that the process 3600 had not seen before, and musttherefore determine whether the current order-book update can be sentright away or whether instead the current order-book update needs to bebuffered now for sending later.

The process 3600 begins this assessment at step 3606 by checking whetherthe current sequence number is exactly one greater than lastSent. If so,the process 3600 proceeds to step 3618, where the process 3600 sends Xinto the post-arbitration first market-data feed 2720; also as part ofstep 3618, the process 3600 sends (into the post-arbitration firstmarket-data feed 2720) any order-book updates in the buffer (and theremay be none) that (i) sequentially follow the current sequence numberand (ii) precede a lowest sequence number (other than the currentsequence number, of course) that is in the missingList (and there may benone)—i.e., the one or more order-book updates (if any) in the bufferthat precede a next element (if any) after the current sequence numberin the missingList. After completing any send operations that can bedone at step 3618, the process 3600 proceeds to update lastSent at 3620with the highest sequence number among the one or more order-bookupdates sent at step 3618. The process 3600 then returns to step 3602 onthe send-update path 3632.

If it is determined at step 3606, however, that the current sequencenumber is not exactly one greater than lastSent, this-coupled with thedetermination having been made at step 3604 that the current sequencenumber is greater than lastSent-means that the current sequence numberis at least two numbers greater than lastSent. What that means is thatthe process 3600 should buffer the current order-book update unless thebuffer already contains the current order-book update (i.e., alreadycontains an order-book update having a sequence number equal to thecurrent sequence number).

Thus, at step 3608, the process 3600 checks whether the buffer alreadycontains the current order-book update (i.e., “X∈{buffer}?” asks “Is Xan element in the set {buffer}?”). If the buffer does contain thecurrent order-book update, the process 3600 returns to step 3602 on thesilent-discard path 3631. If, however, the buffer does not contain thecurrent order-book update, the process 3600 proceeds to step 3609.

At step 3609, the process 3600 checks whether the buffer currently endswith the order-book update having the sequence number that immediatelyprecedes the current sequence number, which would indicate that thecurrent order-book update just needs to be buffered as well (i.e., ifthe current order-book update immediately follows the order-book updatethat is currently sitting at the end of the buffer, the arrival of thecurrent order-book update would not be a sign of a new gap; furthermore,the presence of the immediately preceding order-book update at the endof the buffer indicates that the process 3600 concluded that it couldnot send that immediately preceding order-book update (because theremust be a missing order-book update that precedes the one at the end ofthe buffer), and so the conclusion would necessarily be the same withthe current order-book update.

The question posed at step 3609—i.e., whether the buffer currently endswith the order-book update having the sequence number that immediatelyprecedes the current sequence number—is represented in FIG. 36 with thenotation “{buffer}={S,(X−1)}?”, essentially asking whether the currentcontents of the buffer are some set ‘S’ of order-book updates followedby the order-book update having the sequence number (i.e., ‘X−1’) thatimmediately precedes the current sequence number ‘X’, where ‘S’ could bethe empty set, a set of one order-book update, or a set of multipleorder-book updates. If it is determined at step 3609 that the bufferdoes currently end with the order-book update having the sequence number‘X−1’ that immediately precedes the current sequence number ‘X’, theprocess 3600 proceeds to the below-described step 3616. If, however, itis determined at step 3609 that the buffer does not currently end withthe order-book update having the sequence number ‘X−1’ that immediatelyprecedes the current sequence number ‘X’, the process 3600 proceeds tothe below-described step 3610.

At step 3610, the process 3600 checks whether the current sequencenumber is already on the missingList (i.e., “X∈{missingList}?”). If so,this means that the process 3600 had previously identified the currentorder-book update as missing and has therefore been waiting for thecurrent order-book update, and the process 3600 accordingly removes thecurrent sequence number from the missing list at step 3612.

If it is determined at step 3610, however, that the current sequencenumber is not yet on the missingList, this means that this particularinstance through the process 3600 is the first occurrence of identifyingat least the current order-book update as being missing. And in fact, ifthe difference between the current sequence number and lastSent is morethan two, this indicates that a range of multiple order-book updates isnow to be considered missing. Accordingly, the process 3600 proceeds atstep 3614 to (i) send, to the MDPD 2704, a gap-fill request directed tothe one or more order-book updates now considered missing (i.e., anyorder-book updates having sequence numbers greater than lastSent andless than the current sequence number) and (ii) add to the missingListthe same sequence number or range of sequence numbers to which thegap-fill request was directed.

After (i) answering step 3609 in the affirmative, (ii) carrying out step3612, or (iii) carrying out step 3614, the process 3600 proceeds to addthe current order-book update to the (end of the) buffer at step 3616and then return to step 3602 on the save-update path 3633.

Using the logic of the example process 3600 that is depicted in anddescribed above in connection with FIG. 36, the reader's attention isnow directed to an example timetable that spans FIG. 37A, FIG. 37B, andFIG. 37C. In particular, FIG. 37A, FIG. 37B, and FIG. 37C respectivelydepict the first, second, and third of three parts of an exampletimetable 3700 that tracks an example handling by the arbitration device2708 of multiple example order-book updates received among multipledifferent market-data feeds, in accordance with at least one embodiment.

It can be seen that the timetable 3700 has the following eleven columns,the contents of which are explained below.

-   -   TIME        -   In each row, this column lists the time period (and            subperiod thereof, as explained below) in which ‘the current            order-book update’—as that term is used in the above            description of the process 3600—is processed through the            logic of the process 3600. Each row of the timetable 3700            corresponds to a different subperiod (of a time period)            during which the (exactly one) order-book update that is            listed among the second through sixth columns of the            timetable 3700 is ‘the current order-book update’.        -   As a reminder, ‘the current order-book update’ has ‘the            current sequence number’ that is represented by ‘X’ in FIG.            36.        -   It is noted that 17 time periods are depicted in the            timetable 3700, and that each of these time periods contains            between 1 and 5 subperiods that are labeled using notation            such as ‘T08B*’.            -   Within that notation, the ‘T08’ identifies the time                period while the ‘B*’ identifies the subperiod.                -   Each time period is named to correspond with the                    sequence number of the order-book update of which                    the first of two copies is expected via the first                    communication path 2731 (abbreviated ‘P1’ in the                    timetable 3700) during that particular time period.                    Thus, during ‘T01’, the first of two copies of                    order-book update #1 is expected via P1, and during                    ‘T02’, the first of two copies of order-book update                    #2 is expected via P1, and so on.                -   The labels for the five possible subperiods within                    each time period are, in order, ‘A’, ‘A*’, ‘B’,                    ‘B*’, and ‘C’. Those labels are further explained                    below in connection with the second through sixth                    columns, respectively, of the timetable 3700.            -   The division of each time period into subperiods                illustrates that order-book updates can arrive for                processing at substantially the same time and that, in                an embodiment such as the one being described here, the                arbitration device 2708 takes a round-robin approach to                processing order-book updates arriving via the various                respective market-data feeds that are described in this                example. Moreover, it is noted that, even in such an                approach, the process 3600 may have no visibility                regarding which feed each particular order-book update                arrives in; to wit, a separate process could simply                queue order-book updates in the order they arrive at the                arbitration device 2708, and step 3602 could represent                the process 3600 pulling an update at a time from such a                queue according to a first-in-first-out (FIFO)                methodology.            -   As is explained below, the example scenario of the                timetable 3700 contemplates five market-data feeds being                received by the arbitration device 2708. Each of those                feeds is assigned a subperiod label of ‘A’, ‘A*’, ‘B’,                ‘B*’, or ‘C’ in the timetable 3700. The designation of a                subperiod within a time period (e.g., the subperiod                ‘T08B’ within the time period ‘T08’) corresponds to the                arbitration device 2708 using the process 3600 to                process whatever order-book update was received in the                corresponding feed—i.e., the feed that has that assigned                subperiod label—for processing during that time period.            -   For a number of different reasons, the timetable 3700                omits some rows that could be depicted.                -   With respect to the first 15 time periods (i.e.,                    ‘T01’ through ‘T15’), rows being omitted corresponds                    to this example fact pattern dictating that no                    order-book update arrived in the corresponding                    market-data feed for processing during the                    corresponding subperiod of that time period. For                    example, the timetable 3700 does not include a row                    ‘T05A’ or a row ‘T05A*’; as such, the reader should                    conclude that, in this example scenario, no                    order-book update arrived for processing during time                    period ‘T05’ in either the market-data feed                    designated ‘A’ or the market-data feed designated                    ‘A*’. Nor is there a row ‘T05B*’ or a row ‘T05C’,                    indicating similarly that no order-book update                    arrived for processing during time period ‘T05’ in                    either the market-data feed designated ‘B*’ or the                    market-data feed designated ‘C’. (Which market-data                    feeds are assigned such labels is explained below.)                -   With respect to the final 2 time periods (i.e.,                    ‘T16’ and ‘T17’), the omission of the rows other                    than ‘T16A’ and ‘T17A’ is for brevity, and makes no                    substantive difference since, as is explained below,                    the arbitration device 2708 is fully ‘caught up’ at                    that point.    -   P1 (A)        -   In each row, this column lists the sequence number of the            order-book update (if any) that arrived in the ‘A’ feed via            ‘P1’ for processing during the corresponding time period            (and that is processed during the subperiod corresponding to            that row).        -   The ‘A’ feed in this embodiment is the above-described            pre-arbitration first feed 2718A.        -   In this embodiment, ‘P1’ is an abbreviation for the            above-described first communication path 2731.    -   P1 (A*)        -   In each row, this column lists the sequence number of the            order-book update (if any) that arrived in the ‘A*’ feed via            ‘P1’ for processing during the corresponding time period            (and that is processed during the subperiod corresponding to            that row).        -   The ‘A*’ feed in this embodiment is the above-described            time-delayed duplicate of the pre-arbitration first            market-data feed 2718A.            -   In this example, the second ‘P1’ copy of a given                order-book update is expected to arrive in the ‘A*’ feed                two time periods after the first ‘P1’ copy of the given                order-book update is expected to arrive in the ‘A’ feed.            -   As an example, it can be seen in FIG. 37A that (i) the                first ‘P1’ copy of order-book update #1 arrives in the                ‘A’ feed for processing in time period ‘T01’ (and in                particular is processed in subperiod ‘T01A’) and (ii)                the second (and ultimately discarded) ‘P1’ copy of                order-book update #1 arrives in the ‘A*’ feed for                processing in time period ‘T03’ (and in particular is                processed in subperiod ‘T03A*’).    -   P2 (B)        -   In each row, this column lists the sequence number of the            order-book update (if any) that arrived in the ‘B’ feed via            ‘P2’ for processing during the corresponding time period            (and that is processed during the subperiod corresponding to            that row).        -   The ‘B’ feed in this embodiment is the above-described the            second market-data feed 2718B.        -   In this embodiment, ‘P2’ is an abbreviation for the            above-described second communication path 2732.    -   P2 (B*)        -   In each row, this column lists the sequence number of the            order-book update (if any) that arrived in the ‘B*’ feed via            ‘P2’ for processing during the corresponding time period            (and that is processed during the subperiod corresponding to            that row).        -   The ‘B*’ feed in this embodiment is the above-described            time-delayed duplicate of the second market-data feed 2718B.            -   Similar to the above-described temporal relationship                between the ‘A’ feed and the ‘A*’ feed, in this example,                the second ‘P2’ copy of a given order-book update is                expected to arrive in the ‘B*’ feed two time periods                after the first ‘P2’ copy of the given order-book update                is expected to arrive in the ‘B’ feed.            -   As an example, it can be seen in FIG. 37A that (i) the                first (and ultimately discarded) ‘P2’ copy of order-book                update #2 arrives in the ‘B’ feed for processing in time                period ‘T06’ (and in particular is processed in                subperiod ‘T06B’) and (ii) the second (and also                ultimately discarded) ‘P2’ copy of order-book update #2                arrives in the ‘B*’ feed for processing in time period                ‘T08’ (and in particular is processed in subperiod                ‘T08B*’).    -   G-F RESP (C)        -   In each row, this column lists the sequence number of the            order-book update (if any) that arrived in the ‘C’ feed via            the ‘G-F RESP (Gap-Fill Response)’ for processing during the            corresponding time period (and that is processed during the            subperiod corresponding to that row).        -   The ‘C’ feed in this embodiment is the above-described            series of gap-fill responses sent from the MDPD 2704 to the            arbitration device 2708 in response to the above-described            series of gap-fill requests sent from the arbitration device            2708 to the MDPD 2704.        -   In this embodiment, ‘G-F RESP’ is an abbreviation for the            above-described third communication path that extends from            the arbitration device 2708, along the data network 3552, to            the NIC 3512 of the host 3506 of the MDPD 2704 as depicted            in FIG. 35.        -   In this described example, an elapsed time of 8 of the            example time periods is assumed between (i) the arbitration            device 2708 sending a given gap-fill request that is            addressed to the MDPD 2704 and (ii) the arbitration device            2708 receiving the corresponding gap-fill response to the            given gap-fill request from the MDPD 2704.            -   As an example, it can be seen (i) in FIG. 37A that the                arbitration device 2708 sends a gap-fill request                directed to order-book update #3 in time period ‘T06’                and (ii) in FIG. 37C that the arbitration device                receives the corresponding gap-fill response containing                the (ultimately discarded) requested copy of order-book                update #3 for processing in time period ‘T14’ (and in                particular that gap-fill response is processed in                subperiod ‘T14C’).    -   {BUFFER}        -   In each row, this column lists the contents (or lack            thereof) of the ‘buffer’—that is described above in            connection with FIG. 36—as a result of (i.e., after or at            the end of) the processing by the process 3600 of the            current order-book update for that row during the subperiod            corresponding to that row.        -   Consistent with the previous statement, the evaluation of            the contents (if any) of the ‘buffer’ that occur during a            given subperiod (i.e., step 3608 or step 3609) is conducted            with respect to the contents (if any) of the ‘buffer’ from            the immediately preceding subperiod. Moreover, as stated            above, the ‘buffer’ is initialized to an empty state.        -   As an example, it can be seen in FIG. 37C that the contents            of the ‘buffer’ are (i) {7,8,9,10,11,12,13,14} after the            processing that occurs in connection with subperiod ‘T14C’            and (ii) {7,8,9,10,11,12,13,14,15} as a result of the            processing that occurs in connection with the very next            subperiod, which is ‘T15A’.    -   REQ G-F        -   In each row, this column lists (i) the text ‘---’ if no            gap-fill request was sent as a result of the processing            during the subperiod corresponding to that row or (ii) the            sequence number or sequence numbers of the one or more            order-book updates that were requested if a gap-fill request            was sent as a result of the processing during the subperiod            corresponding to that row.        -   As examples, it can be seen in FIG. 37A that (i) no gap-fill            request was sent as a result of the processing during the            subperiod ‘T05B’ and (ii) a gap-fill request for order-book            update #3 was sent as a result of the processing during the            subperiod ‘T06A*’.    -   {MISSING}        -   In each row, this column lists the contents (or lack            thereof) of the ‘missingList’—that is described above in            connection with FIG. 36—as a result of (i.e., after or at            the end of) the processing by the process 3600 of the            current order-book update for that row during the subperiod            corresponding to that row.        -   Consistent with the previous statement, the evaluation of            the contents (if any) of the ‘missingList’ that occur during            a given subperiod (i.e., step 3610) is conducted with            respect to the contents (if any) of the ‘missingList’ from            the immediately preceding subperiod. Moreover, as stated            above, the ‘missingList’ is initialized to an empty state.        -   As examples, it can be seen in FIG. 37A that the contents of            the ‘missingList’ are (i) {3,5,6} after the processing that            occurs in connection with subperiod ‘T07A’ and (ii) {3,6} as            a result of the processing that occurs in connection with            the very next subperiod, which is ‘T07A*’.    -   SEND        -   In each row, this column lists (i) the text ‘---’ if no            order-book updates were sent as a result of the processing            during the subperiod corresponding to that row or (ii) the            sequence number(s) of the one or more order-book updates            that were sent if one or more order-book updates were sent            as a result of the processing during the subperiod            corresponding to that row. In this context, as described            above, the arbitration device 2708 “sending” a given            order-book update takes the form of the arbitration device            2708 outputting the given order-book update in the            post-arbitration feed 2720.        -   As examples, it can be seen in FIG. 37A that (i) the            processing during the subperiod ‘T02A’ results in the            sending of order-book update #2, (ii) the processing during            the subperiod ‘T03A*’ does not result in the sending of any            order-book updates, and (iii) the processing during the            subperiod ‘T07B’ results in the sending of order-book            updates #3, #4, and #5.    -   LAST SENT        -   In each row, this column lists the highest sequence number            among the one or more order-book updates that have been            sent—i.e., output in the post-arbitration first market-data            feed 2720—as a result of (i) the processing during the            subperiod corresponding to that row and (ii) the processing            during the respective subperiods corresponding to all rows            that precede that row in the timetable 3700.        -   This column corresponds with the ‘lastSent’ value that is            described above in connection with FIG. 36 as being            maintained as part of the repeated iterative processing            through the logic of the process 3600.        -   Consistent with the other columns in the timetable 3700, the            value of ‘lastSent’ in a given row is the result of the            processing by the process 3600 of the current order-book            update for that row during the subperiod corresponding to            that row.            -   In particular, the value of ‘lastSent’ either (i)                remains unchanged (when the processing of the current                order-book update returns to step 3602 on either the                silent-discard path 3631 or the save-update path 3633)                or (ii) is updated at step 3620 (when the processing of                the current order-book update returns to step 3602 on                the send-update path 3632).        -   Consistent with the previous statement, any use of the value            of ‘lastSent’ in any comparisons (i.e., steps 3604 and 3606)            that occur during a given subperiod use the immediately            preceding value of ‘lastSent’. Moreover, the value of            ‘lastSent’ is initialized to ‘0’ for use by the process 3600            during the first subperiod (here, the subperiod ‘T01A’).        -   As examples, it can be seen in FIG. 37A, FIG. 37B, and FIG.            37C that (i) ‘lastSent’ is equal to ‘2’ for all of the            subperiods ‘T02A’ (the result of which is the sending of            order-book update #2) through ‘T07A*’ (which immediately            precedes the subperiod ‘T07B’, which results in the sending            of order-book updates #3, #4, and #5) and (ii) ‘lastSent’ is            equal to ‘5’ for all of the subperiods ‘T07B’ through            ‘T15B*’ (which immediately precedes the subperiod ‘T15C’,            which results in the sending of order-book updates #6            through #15).

Given the above introduction to the timetable 3700, what follows belowis a step-by-step (indeed, subperiod-by-subperiod) walk through thetimetable 3700. As one additional note, any order-book update that endsup being silently discarded is displayed in the timetable 3700 with a‘(D)’ after the corresponding order-book update sequence number. Oneexample of this can be seen in FIG. 37A where the order-book update #1is shown as an order-book update that ends up being silently discardedin the subperiod ‘T03A*’ with the notation ‘1(D)’.

The only order-book update that arrives for processing during timeperiod ‘T01’ is order-book update #1 in feed ‘A’ via ‘P1’. This makessense in that, in this embodiment, feed ‘A’ via ‘P1’ is the expectedfeed in which and communication path via which the first copy of anygiven order-book update is expected to arrive. Thus, as will be seen inthe collective description of all 17 time periods, it never occurs thatan order-book update that successfully arrives in feed ‘A’ via ‘P1’ isever silently discarded, as such order-book updates are always the firstcopies to arrive for processing at the arbitration device 2708.

During subperiod ‘T01A’, it is determined at step 3604 that the currentsequence number X (1) is not less than or equal to lastSent (0).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (1) is equal to the quantity (lastSent(0)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book update #1 is sent and (ii) step 3620, in which ‘lastSent’ isupdated to ‘1’. Processing then returns to step 3602 on the send-updatepath 3632. The ‘buffer’ remains empty. No gap-fill request is sent. The‘missingList’ remains empty.

The only order-book update that arrives for processing during timeperiod ‘T02’ is order-book update #2 in feed ‘A’ via ‘P1’.

During subperiod ‘T02A’, it is determined at step 3604 that the currentsequence number X (2) is not less than or equal to lastSent (1).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (2) is equal to the quantity (lastSent(1)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book update #2 is sent and (ii) step 3620, in which ‘lastSent’ isupdated to ‘2’. Processing then returns to step 3602 on the send-updatepath 3632. The ‘buffer’ remains empty. No gap-fill request is sent. The‘missingList’ remains empty.

The only order-book update that arrives for processing during timeperiod ‘T03’ is order-book update #1 in feed ‘A*’ via ‘P1’.

During subperiod ‘T03A*’, it is determined at step 3604 that the currentsequence number X (1) is less than or equal to lastSent (2). Processingtherefore returns to step 3602 on the silent-discard path 3631 (i.e.,the current order-book update is silently discarded). The ‘buffer’remains empty. No gap-fill request is sent. The ‘missingList’ remainsempty. No updates are sent. The value of ‘lastSent’ remains ‘2’.

The only order-book update that arrives for processing during timeperiod ‘T04’ is order-book update #2 in feed ‘A*’ via ‘P1’.

During subperiod ‘T04A*’, it is determined at step 3604 that the currentsequence number X (2) is less than or equal to lastSent (2). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains empty. No gap-fill request is sent. The ‘missingList’remains empty. No updates are sent. The value of ‘lastSent’ remains ‘2’.

The only order-book update that arrives for processing during timeperiod ‘T05’ is order-book update #1 in feed ‘B’ via ‘P2’.

During subperiod ‘T05B’, it is determined at step 3604 that the currentsequence number X (1) is less than or equal to lastSent (2). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains empty. No gap-fill request is sent. The ‘missingList’remains empty. No updates are sent. The value of ‘lastSent’ remains ‘2’.

The two order-book updates that arrive for processing during time period‘T06’ are (i) order-book update #4 in feed ‘A*’ via ‘P1’ and (ii)order-book update #2 in feed ‘B’ via ‘P2’.

During subperiod ‘T06A*’, it is determined at step 3604 that the currentsequence number X (4) is not less than or equal to lastSent (2).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (4) is also not equal to the quantity(lastSent (2)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (4) is not in the(initially and still currently empty) ‘buffer’. Processing thereforeproceeds to step 3609, where it is determined that the (empty) ‘buffer’does not currently end with the order-book update having the sequencenumber ‘X−1’ (3) that immediately precedes the current sequence number X(4). Processing therefore proceeds to step 3610, where it is determinedthat the current sequence number X (4) is also not in the (initially andstill currently empty) ‘missingList’. Processing therefore proceeds to(i) step 3614, where (a) a gap-fill request-directed to just order-bookupdate #3—is sent and (b) the sequence number ‘3’ is added to the‘missingList’ (which therefore then equals {3}) and (ii) step 3616,where the current sequence number X (4) is added to the ‘buffer’ (whichtherefore then equals {4}). Processing then returns to step 3602 on thesave-update path 3633. No updates are sent. The value of ‘lastSent’remains ‘2’.

During subperiod ‘T06B’, it is determined at step 3604 that the currentsequence number X (2) is less than or equal to lastSent (2). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ contents remain {4}. No gap-fill request is sent. The‘missingList’ contents remain {3}. No updates are sent. The value of‘lastSent’ remains ‘2’.

The four order-book updates that arrive for processing during timeperiod ‘T07’ are (i) order-book update #7 in feed ‘A’ via ‘P1’, (ii)order-book update #5 in feed ‘A*’ via ‘P1’, (iii) order-book update #3in feed ‘B’ via ‘P2’, and (iv) order-book update #1 in feed ‘B*’ via‘P2’.

During subperiod ‘T07A’, it is determined at step 3604 that the currentsequence number X (7) is not less than or equal to lastSent (2).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (7) is also not equal to the quantity(lastSent (2)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (7) is not in the‘buffer’ ({4}). Processing therefore proceeds to step 3609, where it isdetermined that the ‘buffer’ ({4}) does not currently end with theorder-book update having the sequence number ‘X−1’ (6) that immediatelyprecedes the current sequence number X (7). Processing thereforeproceeds to step 3610, where it is determined that the current sequencenumber X (7) is also not in the ‘missingList’ ({3}). Processingtherefore proceeds to (i) step 3614, where (a) a gap-fillrequest—directed to order-book updates #5 and #6—is sent and (b) thesequence numbers ‘5’ and ‘6’ are added to the ‘missingList’ (whichtherefore then equals {3,5,6}) and (ii) step 3616, where the currentsequence number X (7) is added to the ‘buffer’ (which therefore thenequals {4,7}). Processing then returns to step 3602 on the save-updatepath 3633. No updates are sent. The value of ‘lastSent’ remains ‘2’.

During subperiod ‘T07A*’, it is determined at step 3604 that the currentsequence number X (5) is not less than or equal to lastSent (2).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (5) is also not equal to the quantity(lastSent (2)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (5) is not in the‘buffer’ ({4,7}). Processing therefore proceeds to step 3609, where itis determined that the ‘buffer’ ({4,7}) does not currently end with theorder-book update having the sequence number ‘X−1’ (4) that immediatelyprecedes the current sequence number X (5). (It is noted that order-bookupdate #4 is in the ‘buffer’, just not at the end of the ‘buffer’ as isrequired for an affirmative answer to be reached at step 3609.)Processing therefore proceeds to step 3610, where it is determined thatthe current sequence number X (5) is in the ‘missingList’ ({3,5,6}).Processing therefore proceeds to (i) step 3612, where the currentsequence number X (5) is removed from the ‘missingList’ (which thereforethen equals {3,6}) and (ii) step 3616, where the current sequence numberX (5) is added to the ‘buffer’ (which therefore then equals {4,5,7}).Processing then returns to step 3602 on the save-update path 3633. Nogap-fill request is sent. No updates are sent. The value of ‘lastSent’remains ‘2’.

During subperiod ‘T07B’, it is determined at step 3604 that the currentsequence number X (3) is not less than or equal to lastSent (2).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (3) is equal to the quantity (lastSent(2)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book updates #3, #4, and #5 are sent—these three order-bookupdates are sent because they are (a) the current order-book update (#3)and (b) the (in this case, two) order-book updates (#4 and #5) in the‘buffer’ that precede the next element (6) after the current sequencenumber (3) in the missingList ({3,6}) and (ii) step 3620, in which‘lastSent’ is updated to ‘5’. Processing then returns to step 3602 onthe send-update path 3632. The ‘buffer’ has been reduced from {4,5,7} to{7}. No gap-fill request is sent. The ‘missingList’ has been reducedfrom {3,6} to {6}.

During subperiod ‘T07B*’, it is determined at step 3604 that the currentsequence number X (1) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains {7}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

The three order-book updates that arrive for processing during timeperiod ‘T08’ are (i) order-book update #8 in feed ‘A’ via ‘P1’, (ii)order-book update #4 in feed ‘B’ via ‘P2’, and (iii) order-book update#2 in feed ‘B*’ via ‘P2’.

During subperiod ‘T08A’, it is determined at step 3604 that the currentsequence number X (8) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (8) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (8) is not in the‘buffer’ ({7}). Processing therefore proceeds to step 3609, where it isdetermined that the ‘buffer’ ({4,7}) does currently end with theorder-book update having the sequence number ‘X−1’ (7) that immediatelyprecedes the current sequence number X (8). Processing thereforeproceeds to step 3616, where the current sequence number X (8) is addedto the ‘buffer’ (which therefore then equals {7,8}). Processing thenreturns to step 3602 on the save-update path 3633. No gap-fill requestis sent. The ‘missingList’ remains {6}. No updates are sent. The valueof ‘lastSent’ remains ‘5’.

During subperiod ‘T08B’, it is determined at step 3604 that the currentsequence number X (4) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ contents remain {7,8}. No gap-fill request is sent. The‘missingList’ contents remain {6}. No updates are sent. The value of‘lastSent’ remains ‘5’.

During subperiod ‘T08B*’, it is determined at step 3604 that the currentsequence number X (2) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ contents remain {7,8}. No gap-fill request is sent. The‘missingList’ contents remain {6}. No updates are sent. The value of‘lastSent’ remains ‘5’.

Turning now to FIG. 37B, the four order-book updates that arrive forprocessing during time period ‘T09’ are (i) order-book update #9 in feed‘A’ via ‘P1’, (ii) order-book update #7 in feed ‘A*’ via ‘P1’, (iii)order-book update #5 in feed ‘B’ via ‘P2’, and (iv) order-book update #3in feed ‘B*’ via ‘P2’.

During subperiod ‘T09A’, it is determined at step 3604 that the currentsequence number X (9) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (9) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (9) is not in the‘buffer’ ({7,8}). Processing therefore proceeds to step 3609, where itis determined that the ‘buffer’ ({7,8}) does currently end with theorder-book update having the sequence number ‘X−1’ (8) that immediatelyprecedes the current sequence number X (9). Processing thereforeproceeds to step 3616, where the current sequence number X (9) is addedto the ‘buffer’ (which therefore then equals {7,8,9}). Processing thenreturns to step 3602 on the save-update path 3633. No gap-fill requestis sent. The ‘missingList’ remains {6}. No updates are sent. The valueof ‘lastSent’ remains ‘5’.

During subperiod ‘T09A*’, it is determined at step 3604 that the currentsequence number X (7) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (7) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (7) is in the ‘buffer’({7,8,9}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9}. No gap-fillrequest is sent. The ‘missingList’ remains {6}. No updates are sent. Thevalue of ‘lastSent’ remains ‘5’.

During subperiod ‘T09B’, it is determined at step 3604 that the currentsequence number X (5) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains {7,8,9}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T09B*’, it is determined at step 3604 that the currentsequence number X (3) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains {7,8,9}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

The three order-book updates that arrive for processing during timeperiod ‘T10’ are (i) order-book update #10 in feed ‘A’ via ‘P1’, (ii)order-book update #8 in feed ‘A*’ via ‘P1’, and (iii) order-book update#4 in feed ‘B*’ via ‘P2’.

During subperiod ‘T10A’, it is determined at step 3604 that the currentsequence number X (10) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (10) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (10) is not in the‘buffer’ ({7,8,9}). Processing therefore proceeds to step 3609, where itis determined that the ‘buffer’ ({7,8,9}) does currently end with theorder-book update having the sequence number ‘X−1’ (9) that immediatelyprecedes the current sequence number X (10). Processing thereforeproceeds to step 3616, where the current sequence number X (10) is addedto the ‘buffer’ (which therefore then equals {7,8,9,10}). Processingthen returns to step 3602 on the save-update path 3633. No gap-fillrequest is sent. The ‘missingList’ remains {6}. No updates are sent. Thevalue of ‘lastSent’ remains ‘5’.

During subperiod ‘T10A*’, it is determined at step 3604 that the currentsequence number X (8) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (8) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (8) is in the ‘buffer’({7,8,9,10}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10}. No gap-fillrequest is sent. The ‘missingList’ remains {6}. No updates are sent. Thevalue of ‘lastSent’ remains ‘5’.

During subperiod ‘T10B*’, it is determined at step 3604 that the currentsequence number X (4) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains {7,8,9,10}. No gap-fill request is sent. The‘missingList’ remains {6}. No updates are sent. The value of ‘lastSent’remains ‘5’.

The four order-book updates that arrive for processing during timeperiod ‘T11’ are (i) order-book update #11 in feed ‘A’ via ‘P1’, (ii)order-book update #9 in feed ‘A*’ via ‘P1’, (iii) order-book update #7in feed ‘B’ via ‘P2’, and (iv) order-book update #5 in feed ‘B*’ via‘P2’.

During subperiod ‘T11A’, it is determined at step 3604 that the currentsequence number X (11) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (11) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (11) is not in the‘buffer’ ({7,8,9,10}). Processing therefore proceeds to step 3609, whereit is determined that the ‘buffer’ ({7,8,9,10}) does currently end withthe order-book update having the sequence number ‘X−1’ (10) thatimmediately precedes the current sequence number X (11). Processingtherefore proceeds to step 3616, where the current sequence number X(11) is added to the ‘buffer’ (which therefore then equals{7,8,9,10,11}). Processing then returns to step 3602 on the save-updatepath 3633. No gap-fill request is sent. The ‘missingList’ remains {6}.No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T11A*’, it is determined at step 3604 that the currentsequence number X (9) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (9) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (9) is in the ‘buffer’({7,8,9,10,11}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T11B’, it is determined at step 3604 that the currentsequence number X (7) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (7) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (7) is in the ‘buffer’({7,8,9,10,11}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T11B*’, it is determined at step 3604 that the currentsequence number X (5) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. The‘buffer’ remains {7,8,9,10,11}. No gap-fill request is sent. The‘missingList’ remains {6}. No updates are sent. The value of ‘lastSent’remains ‘5’.

The three order-book updates that arrive for processing during timeperiod ‘T12’ are (i) order-book update #12 in feed ‘A’ via ‘P1’, (ii)order-book update #10 in feed ‘A*’ via ‘P1’, and (iii) order-book update#8 in feed ‘B’ via ‘P2’.

During subperiod ‘T12A’, it is determined at step 3604 that the currentsequence number X (12) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (12) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (12) is not in the‘buffer’ ({7,8,9,10,11}). Processing therefore proceeds to step 3609,where it is determined that the ‘buffer’ ({7,8,9,10,11}) does currentlyend with the order-book update having the sequence number ‘X−1’ (11)that immediately precedes the current sequence number X (12). Processingtherefore proceeds to step 3616, where the current sequence number X(12) is added to the ‘buffer’ (which therefore then equals{7,8,9,10,11,12}). Processing then returns to step 3602 on thesave-update path 3633. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T12A*’, it is determined at step 3604 that the currentsequence number X (10) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (10) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (10) is in the ‘buffer’({7,8,9,10,11,12}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11,12}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T12B’, it is determined at step 3604 that the currentsequence number X (8) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (8) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (8) is in the ‘buffer’({7,8,9,10,11,12}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11,12}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

Turning now to FIG. 37C, the four order-book updates that arrive forprocessing during time period ‘T13’ are (i) order-book update #13 infeed ‘A’ via ‘P1’, (ii) order-book update #11 in feed ‘A*’ via ‘P1’,(iii) order-book update #9 in feed ‘B’ via ‘P2’, and (iv) order-bookupdate #7 in feed ‘B*’ via ‘P2’.

During subperiod ‘T13A’, it is determined at step 3604 that the currentsequence number X (13) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (13) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (13) is not in the‘buffer’ ({7,8,9,10,11,12}). Processing therefore proceeds to step 3609,where it is determined that the ‘buffer’ ({7,8,9,10,11,12}) doescurrently end with the order-book update having the sequence number‘X−1’ (12) that immediately precedes the current sequence number X (13).Processing therefore proceeds to step 3616, where the current sequencenumber X (13) is added to the ‘buffer’ (which therefore then equals{7,8,9,10,11,12,13}). Processing then returns to step 3602 on thesave-update path 3633. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T13A*’, it is determined at step 3604 that the currentsequence number X (11) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (11) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (11) is in the ‘buffer’({7,8,9,10,11,12,13}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11,12,13}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T13B’, it is determined at step 3604 that the currentsequence number X (9) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (9) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (9) is in the ‘buffer’({7,8,9,10,11,12,13}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11,12,13}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T13B*’, it is determined at step 3604 that the currentsequence number X (7) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (7) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (7) is in the ‘buffer’({7,8,9,10,11,12,13}). Processing therefore returns to step 3602 on thesilent-discard path 3631. The ‘buffer’ remains {7,8,9,10,11,12,13}. Nogap-fill request is sent. The ‘missingList’ remains {6}. No updates aresent. The value of ‘lastSent’ remains ‘5’.

The five order-book updates that arrive for processing during timeperiod ‘T14’ are (i) order-book update #14 in feed ‘A’ via ‘P1’, (ii)order-book update #12 in feed ‘A*’ via ‘P1’, (iii) order-book update #10in feed ‘B’ via ‘P2’, (iv) order-book update #8 in feed ‘B*’ via ‘P2’,and (v) order-book update #3 in feed ‘C’ via ‘G-F RESP’.

During subperiod ‘T14A’, it is determined at step 3604 that the currentsequence number X (14) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (14) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (14) is not in the‘buffer’ ({7,8,9,10,11,12,13}). Processing therefore proceeds to step3609, where it is determined that the ‘buffer’ ({7,8,9,10,11,12,13})does currently end with the order-book update having the sequence number‘X−1’ (13) that immediately precedes the current sequence number X (14).Processing therefore proceeds to step 3616, where the current sequencenumber X (14) is added to the ‘buffer’ (which therefore then equals{7,8,9,10,11,12,13,14}). Processing then returns to step 3602 on thesave-update path 3633. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T14A*’, it is determined at step 3604 that the currentsequence number X (12) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (12) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (12) is in the ‘buffer’({7,8,9,10,11,12,13,14}). Processing therefore returns to step 3602 onthe silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T14B’, it is determined at step 3604 that the currentsequence number X (10) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (10) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (10) is in the ‘buffer’({7,8,9,10,11,12,13,14}). Processing therefore returns to step 3602 onthe silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T14B*’, it is determined at step 3604 that the currentsequence number X (8) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (8) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (8) is in the ‘buffer’({7,8,9,10,11,12,13,14}). Processing therefore returns to step 3602 onthe silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T14C’, it is determined at step 3604 that the currentsequence number X (3) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. This isan example of a gap-fill response that arrived too late to be useful andtherefore was silently discarded. The ‘buffer’ remains{7,8,9,10,11,12,13,14}. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

The six order-book updates that arrive for processing during time period‘T15’ are (i) order-book update #15 in feed ‘A’ via ‘P1’, (ii)order-book update #13 in feed ‘A*’ via ‘P1’, (iii) order-book update #11in feed ‘B’ via ‘P2’, (iv) order-book update #9 in feed ‘B*’ via ‘P2’,and (v)(a) order-book update #5 and (b) order-book update #6, both infeed ‘C’ via ‘G-F RESP’.

During subperiod ‘T15A’, it is determined at step 3604 that the currentsequence number X (15) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (15) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (15) is not in the‘buffer’ ({7,8,9,10,11,12,13,14}). Processing therefore proceeds to step3609, where it is determined that the ‘buffer’ ({7,8,9,10,11,12,13,14})does currently end with the order-book update having the sequence number‘X−1’ (14) that immediately precedes the current sequence number X (15).Processing therefore proceeds to step 3616, where the current sequencenumber X (15) is added to the ‘buffer’ (which therefore then equals{7,8,9,10,11,12,13,14,15}). Processing then returns to step 3602 on thesave-update path 3633. No gap-fill request is sent. The ‘missingList’remains {6}. No updates are sent. The value of ‘lastSent’ remains ‘5’.

During subperiod ‘T15A*’, it is determined at step 3604 that the currentsequence number X (13) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (13) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (13) is in the ‘buffer’({7,8,9,10,11,12,13,14,15}). Processing therefore returns to step 3602on the silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14,15}. No gap-fill request is sent. The‘missingList’ remains {6}. No updates are sent. The value of ‘lastSent’remains ‘5’.

During subperiod ‘T15B’, it is determined at step 3604 that the currentsequence number X (11) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (11) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (11) is in the ‘buffer’({7,8,9,10,11,12,13,14,15}). Processing therefore returns to step 3602on the silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14,15}. No gap-fill request is sent. The‘missingList’ remains {6}. No updates are sent. The value of ‘lastSent’remains ‘5’.

During subperiod ‘T15B*’, it is determined at step 3604 that the currentsequence number X (9) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (9) is also not equal to the quantity(lastSent (5)+1). Processing therefore proceeds to step 3608, where itis determined that the current sequence number X (9) is in the ‘buffer’({7,8,9,10,11,12,13,14,15}). Processing therefore returns to step 3602on the silent-discard path 3631. The ‘buffer’ remains{7,8,9,10,11,12,13,14,15}. No gap-fill request is sent. The‘missingList’ remains {6}. No updates are sent. The value of ‘lastSent’remains ‘5’.

As mentioned above, in this example, among the order-book updates thatarrive for processing during time period ‘T15’ order-book updates #5 and#6, both of which arrive in feed ‘C’ via ‘G-F RESP’. In at least oneembodiment, these two order-book updates arrive together in a single(e.g., TCP/IP) communication from the MDPD 2704. In at least one otherembodiment, these two order-book updates arrive in two separatecommunications from the MDPD 2704. Either way, in this describedexample, the process 3600 handles them one at a time—in this case, firsthandling order-book update #5 in a subperiod referred to herein as‘T15C1’ and then handling order-book update #6 in a subperiod referredto herein as ‘T15C2’. As demonstrated in the ensuing two paragraphs,these two subperiods present an example in which two order-book updatesarrive as part of one or two gap-fill responses, and in which one ofthose two order-book updates arrives too late to be useful and the otherarrives to an arbitration device 2708 that has been waiting for it.

During subperiod ‘T15C1’, it is determined at step 3604 that the currentsequence number X (5) is less than or equal to lastSent (5). Processingtherefore returns to step 3602 on the silent-discard path 3631. This isanother example of an order-book update that arrived in a gap-fillresponse too late to be useful and therefore was silently discarded. The‘buffer’ remains {7,8,9,10,11,12,13,14,15}. No gap-fill request is sent.The ‘missingList’ remains {6}. No updates are sent. The value of‘lastSent’ remains ‘5’.

During subperiod ‘T15C2’, it is determined at step 3604 that the currentsequence number X (6) is not less than or equal to lastSent (5).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (6) is equal to the quantity (lastSent(5)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book updates #6 through #15 are sent—these ten order-book updatesare sent because they are (a) the current order-book update (#6) and (b)the (in this case, nine) order-book updates (#7 through #15) in the‘buffer’ that precede the next element (if there is one, which herethere is not) after the current sequence number (6) in the missingList({6}) and (ii) step 3620, in which ‘lastSent’ is updated to ‘15’.Processing then returns to step 3602 on the send-update path 3632. The‘buffer’ has been reduced from {7,8,9,10,11,12,13,14,15} to { } (i.e.,the empty set). No gap-fill request is sent. The ‘missing List’ has beenreduced from {6} to { } (i.e., the empty set).

As mentioned above, with respect to the final 2 time periods (i.e.,‘T16’ and ‘T17’) that are shown in the timetable 3700 and that aredescribed below, the omission of the rows other than ‘T16A’ and ‘T17A’is for brevity, and makes no substantive difference since, as isexplained below, the arbitration device 2708 is fully ‘caught up’ atthis point.

The one order-book update that is described here as arriving forprocessing during time period ‘T16’ is order-book update #16 in feed ‘A’via ‘P1’.

During subperiod ‘T16A’, it is determined at step 3604 that the currentsequence number X (16) is not less than or equal to lastSent (15).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (16) is equal to the quantity (lastSent(15)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book update #16 is sent and (ii) step 3620, in which ‘lastSent’ isupdated to ‘16’. Processing then returns to step 3602 on the send-updatepath 3632. The ‘buffer’ remains empty. No gap-fill request is sent. The‘missingList’ remains empty.

And finally, the one order-book update that is described here asarriving for processing during time period ‘T17’ is order-book update#17 in feed ‘A’ via ‘P1’.

During subperiod ‘T17A’, it is determined at step 3604 that the currentsequence number X (17) is not less than or equal to lastSent (16).Processing therefore proceeds to step 3606, where it is determined thatthe current sequence number X (17) is equal to the quantity (lastSent(16)+1). Processing therefore proceeds to (i) step 3618, in whichorder-book update #17 is sent and (ii) step 3620, in which ‘lastSent’ isupdated to ‘17’. Processing then returns to step 3602 on the send-updatepath 3632. The ‘buffer’ remains empty. No gap-fill request is sent. The‘missingList’ remains empty.

What is claimed is:
 1. A method comprising: maintaining, at a marketdata processing device (MDPD), an output-feed profile that specifies aticker-symbol subset from among a plurality of ticker symbols;receiving, at the MDPD from an upstream device, an input feed oforder-book updates to respective ticker symbols in the plurality ofticker symbols; generating, at the MDPD, a market-data output feed fromthe received input feed, wherein generating the market-data output feedcomprises: filtering the received input feed down to a filtered feed ofthe order-book updates to the respective ticker symbols in theticker-symbol subset; and generating market-data-output-feed messagesthat respectively convey the order-book updates in the filtered feed;transmitting the generated market-data output feed from the MDPD to adownstream device at least in part by transmitting the generatedmarket-data-output-feed messages from the MDPD to the downstream device;storing, at the MDPD, cached copies of at least the order-book updatesfrom the input feed that respectively correspond withmarket-data-output-feed messages in the generated market-data outputfeed; and providing, from the MDPD to the downstream device, a gap-fillservice for the generated market-data output feed using the cachedorder-book-update copies.
 2. The method of claim 1, wherein theticker-symbol subset includes all of the ticker symbols in the pluralityof ticker symbols.
 3. The method of claim 1, wherein the ticker-symbolsubset does not include all of the ticker symbols in the plurality ofticker symbols.
 4. The method of claim 1, wherein: the MDPD comprises: aprogrammable logic circuit (PLC) that is configured to perform thegenerating of the market-data output feed from the received input feed,wherein maintaining the output-feed profile at the MDPD comprisesmaintaining an operational copy of the output-feed profile on the PLC;and a host data storage, wherein maintaining the output-feed profile atthe MDPD further comprises maintaining a management copy of theoutput-feed profile in the host data storage; and a host processor that(i) is communicatively connected to the PLC and (ii) has access to thehost data storage; storing, at the MDPD, cached copies of at least theorder-book updates from the input feed that respectively correspond withmarket-data-output-feed messages in the market-data output feedcomprises: the PLC transmitting an archival copy of the input feed tothe host processor; and the host processor storing in the host datastorage: cached copies of at least the order-book updates from thearchival copy of the input feed that respectively correspond withmarket-data-output-feed messages in the market-data output feed; andinput-feed-to-output-feed mapping data that correlates respective cachedcopies of order-book updates from the archival copy of the input feedwith the corresponding market-data-output-feed messages in themarket-data output feed.
 5. The method of claim 4, wherein: the MDPDfurther comprises a host network interface communicatively connected tothe host processor; and providing the gap-fill service from the MDPD tothe downstream device comprises the host processor transmitting one ormore gap-fill responses to the downstream device via the host networkinterface.
 6. The method of claim 4, wherein: the host processor beingcommunicatively connected to the PLC comprises the host processor beingcommunicatively connected to the PLC by a Peripheral ComponentInterconnect Express (PCIe) bus; and the PLC transmitting the archivalcopy of the input feed to the host processor comprises the PLCtransmitting the archival copy of the input feed to the host processorvia the PCIe bus.
 7. The method of claim 4, wherein: generating themarket-data-output-feed messages comprises including, in each suchmessage, a feed-level sequence number indicating the sequential positionof that message among all of the messages in the generated market-dataoutput feed; and the input-feed-to-output-feed mapping data correlatescached copies of order-book updates with correspondingmarket-data-output-feed messages in the market-data output feed at leastby the feed-level sequence numbers of the correspondingmarket-data-output-feed messages.
 8. The method of claim 7, wherein:generating the market-data-output-feed messages further comprisesincluding, in each such message, a ticker-symbol-level sequence numberindicating the sequential position of the corresponding order-bookupdate among the order-book updates to the corresponding ticker symbolin the received input feed; and the input-feed-to-output-feed mappingdata correlates cached copies of order-book updates with correspondingmarket-data-output-feed messages in the market-data output feed at leastby the feed-level sequence numbers of the correspondingmarket-data-output-feed messages and at least by the ticker-symbol-levelsequence numbers of the corresponding market-data-output-feed messages.9. The method of claim 4, wherein: generating themarket-data-output-feed messages comprises including, in each suchmessage, a ticker-symbol-level sequence number indicating the sequentialposition of the corresponding order-book update among the order-bookupdates to the corresponding ticker symbol in the received input feed;and the input-feed-to-output-feed mapping data correlates cached copiesof order-book updates with corresponding market-data-output-feedmessages in the market-data output feed at least by theticker-symbol-level sequence numbers of the correspondingmarket-data-output-feed messages.
 10. The method of claim 1, wherein:generating the market-data-output-feed messages comprises including, ineach such message, a feed-level sequence number indicating thesequential position of that message among all of the messages in thegenerated market-data output feed; and providing the gap-fill servicefor the generated market-data output feed using the cachedorder-book-update copies comprises providing the gap-fill service forthe generated market-data output feed using the cached order-book-updatecopies and keyed to at least the feed-level sequence numbers.
 11. Themethod of claim 10, wherein providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the feed-level sequence numbers comprises:receiving, at the MDPD from the downstream device, one or more gap-fillrequests respectively specifying ranges of one or more of the feed-levelsequence numbers; and responsively transmitting, from the MDPD to thedownstream device, corresponding gap-fill responses that respectivelyinclude either (i) copies of the corresponding requestedmarket-data-output-feed messages generated by the MDPD from the cachedcopies of the corresponding order-book updates or (ii) agap-fill-request failure indication.
 12. The method of claim 10,wherein: generating the market-data-output-feed messages furthercomprises including, in each such message, a ticker-symbol-levelsequence number indicating the sequential position of the correspondingorder-book update among the order-book updates to the correspondingticker symbol in the received input feed; and providing the gap-fillservice for the generated market-data output feed using the cachedorder-book-update copies comprises providing the gap-fill service forthe generated market-data output feed using the cached order-book-updatecopies and keyed to at least the feed-level sequence numbers and to theticker-symbol-level sequence numbers.
 13. The method of claim 1,wherein: generating the market-data-output-feed messages comprisesincluding, in each such message, a ticker-symbol-level sequence numberindicating the sequential position of the corresponding order-bookupdate among the order-book updates to the corresponding ticker symbolin the received input feed; and providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies comprises providing the gap-fill service for the generatedmarket-data output feed using the cached order-book-update copies andkeyed to at least the ticker-symbol-level sequence numbers.
 14. Themethod of claim 13, wherein providing the gap-fill service for thegenerated market-data output feed using the cached order-book-updatecopies and keyed to at least the ticker-symbol-level sequence numberscomprises: receiving, at the MDPD from the downstream device, one ormore gap-fill requests respectively specifying (i) one or more tickersymbols in the ticker-symbol subset and (ii) a range of one or more ofthe ticker-symbol-level sequence numbers for each ticker symbolspecified in the particular gap-fill request; and responsivelytransmitting, from the MDPD to the downstream device, correspondinggap-fill responses that respectively include either (i) copies of thecorresponding requested market-data-output-feed messages generated bythe MDPD from the cached copies of the corresponding order-book updatesor (ii) a gap-fill-request failure indication.
 15. The method of claim1, wherein: the output-feed profile further specifies aticker-symbol-based feed-partitioning scheme; the generatedmarket-data-output-feed messages are partitioned according to thespecified ticker-symbol-based feed-partitioning scheme; generating themarket-data-output-feed messages comprises including, in each suchmessage, a partition-level sequence number indicating the sequentialposition of that message among the messages in the generated market-dataoutput feed that share a partition with that message according to thespecified ticker-symbol-based feed-partitioning scheme; and providingthe gap-fill service for the generated market-data output feed using thecached order-book-update copies comprises providing the gap-fill servicefor the generated market-data output feed using the cachedorder-book-update copies and keyed to at least the partition-levelsequence numbers.
 16. The method of claim 15, wherein providing thegap-fill service for the generated market-data output feed using thecached order-book-update copies and keyed to at least thepartition-level sequence numbers comprises: receiving, at the MDPD fromthe downstream device, one or more gap-fill requests respectivelyspecifying (i) at least one partition in the generated market-dataoutput feed and (ii) a range of one or more of the partition-levelsequence numbers for each partition specified in the particular gap-fillrequest; and responsively transmitting, from the MDPD to the downstreamdevice, corresponding gap-fill responses that respectively includeeither (i) copies of the corresponding requested market-data-output-feedmessages generated by the MDPD from the cached copies of thecorresponding order-book updates or (ii) a gap-fill-request failureindication.
 17. The method of claim 1, wherein transmitting thegenerated market-data-output-feed messages from the MDPD to thedownstream device comprises transmitting first Internet Protocol (IP)packets from the MDPD to the downstream device, wherein each of thefirst IP packets contains one or more of the generatedmarket-data-output-feed messages, wherein a transport layer of the firstIP packets is the User Datagram Protocol (UDP); and providing thegap-fill service from the MDPD to the downstream device comprisestransmitting second IP packets from the MDPD to the downstream device,wherein each of the second IP packets contains one or more gap-fillresponses, wherein a transport layer of the second IP packets is theTransport Control Protocol (TCP).
 18. The method of claim 1, furthercomprising: maintaining, in data storage at the MDPD, a current locallist of active orders for each ticker symbol in the plurality of tickersymbols; and providing, from the MDPD to the downstream device, alate-join service based on one or more of the maintained current locallists of active orders.
 19. The method of claim 18, wherein: providingthe late-join service comprises transmitting late-join responsescontained in Internet Protocol (IP) packets having a transport protocol;and the transport protocol of the IP packets containing the late-joinresponses is the Transport Control Protocol (TCP).
 20. The method ofclaim 18, further comprising periodically transmitting, from the MDPD tothe downstream device, copies of the maintained current local lists ofactive orders for the ticker symbols in the ticker-symbol subset.
 21. Amarket-data-processing device (MDPD) comprising: data storage in whichthe MDPD is configured to maintain an output-feed profile that specifiesa ticker-symbol subset from among a plurality of ticker symbols; aplurality of external data ports including a first external data portand a second external data port, wherein the MDPD is configured toreceive, from an upstream device and via the first external data port,an input feed of order-book updates to respective ticker symbols in aplurality of ticker symbols; a programmable logic circuit (PLC) that isconfigured to: generate, at the MDPD, a market-data output feed from thereceived input feed at least in part by: filtering the received inputfeed down to a filtered feed of the order-book updates to the respectiveticker symbols in the ticker-symbol subset; and generatingmarket-data-output-feed messages that respectively convey the order-bookupdates in the filtered feed, wherein the MDPD is further configured totransmit the generated market-data output feed from the MDPD to adownstream device via the second external data port at least in part bytransmitting the generated market-data-output-feed messages from theMDPD to the downstream device via the second external data port; a hostprocessor that is configured to: store, at the MDPD, cached copies of atleast the order-book updates from the input feed that respectivelycorrespond with market-data-output-feed messages in the generatedmarket-data output feed; and provide, from the MDPD to the downstreamdevice, a gap-fill service for the generated market-data output feedusing the cached order-book-update copies.